NO.PZ2021120102000009
问题如下：
An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?
选项：
A.Bear steepening
bull flattening
Yield curve inversion
解释：
C is correct.
A duration-neutral flattening trade involves a short 2-year Bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines. Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.
The bear steepening in A involves an unchanged 2-year yield-to-maturity with
a rise in the 10-year yield-to-maturity, causing a portfolio loss. The bull
flattening in B combines a constant 2-year yield-to-maturity with lower 10-year
rates, resulting in a gain on the 10-year bond position and an unchanged 2-year
bond position.
协会最新勘误如下：
An active investor enters a duration-neutral yield curve flattening trade that combines 2 year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio loss?
A Bear steepening
B Bull flattening
C Yields unchanged
The Solution (page 58 of print) should read: C is correct. A duration-neutral flattening trade involves a short 2-year bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of 4 zero. This portfolio will realize a loss if the slope of the yield curve—that is, the difference between short-term and long-term yields—increases. The bear steepening in A involves a rise in the 10-year yield-to-maturity more than in the 5-year yield-to-maturity, causing a portfolio loss.
请问在这个勘误的题目中，为什么要选C呢？A似乎loss应该是最大的
