yield curve strategy

这道题对应的题干信息在这里：

One year ago, given her expectations of a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping, McLaughlin elected to position her portfolio solely in 20-year US Treasury bonds with a coupon rate of 4% and a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629.

然后题目问，去年他执行的是哪种策略？

首先我们的策略分为Stable yield curve策略和Unstable yield curve策略；

Stable yield curve策略包括：

1. buy and hold.
2. riding the yield curve.
3. sell convexity
4. carry trade

Unstable yield curve策略包括：

1. Sell convexity
2. duration management
3. barbell/bullet structure

其中Stable yield curve下Riding the yield curve除了要求收益率曲线Stable外，还要求收益率曲线是Upward sloping的；

发现题干刚好出现了这两个说法：说a stable yield curve over the coming 12 months，the yield curve was upward sloping，所以初步可以判断，他做的是Riding the yield curve策略。

继续往下看，发现他的策略是：这一年，低价买入债券，高价卖出债券。这恰好就是Riding the yield curve的目的。所以确定是Riding the yield cuve。

不是Carry trade，因为Carry trade是借低利率投资高利率赚取息差，与题干描述不符。

也不是Barbell，Barbell是Unstable yield curve下的策略，本题是Stable yield curve下的策略，同时Barbell是权重集中在短期、长期的债券组合，与题干描述不符。