问题如下：
Over the next 12 months, Abram expects a stable yield curve; however, Edgarton expects a steepening yield curve, with short-term yields rising by 1.00% and long-term yields rising by more than 1.00%.
Based on her yield curve forecast, Abram recommends to her supervisor changes to the Fund’s holdings using the following three strategies:
Strategy 1: Sell the 3-year bonds, and use the proceeds to buy 10-year bonds.
Strategy 2: Sell the 5-year bonds, and use the proceeds to buy 30-year MBS with an effective duration of 4.75.
Strategy 3: Sell the 10-year bonds, and buy call options on 10-year government bond futures.
Based on Exhibit 1 and Abram’s interest rate expectations, which of the following strategies is expected to perform best over the next 12 months?
选项：
A.Strategy 1
Strategy 2
Strategy 3
解释：
B is correct.
In a stable yield curve environment, holding bonds with higher convexity negatively affects portfolio performance. These bonds have lower yields than bonds with lower convexity, all else being equal. The 5-year US Treasury has higher convexity than the negative convexity 30-year MBS bond. So, by selling the 5-year Treasury and purchasing the 30-year MBS, Abram will reduce the portfolio’s convexity and enhance its yield without violating the duration mandate versus the benchmark.
老师 这道题我看不到表格呀，显示不出来呢
