NO.PZ201812020100000706
问题如下：
Relative to the Canadian government bond index, the portfolio that Hirji proposes for the Malaysian client will most likely:
选项：
A. underperform.
B. remain stable.
C. outperform.
解释：
C is correct.
Hirji proposes an extreme bullet portfolio focusing on the middle of the yield curve. If the forecast is correct and the yield curve loses curvature, the rates at either end of the curve will rise or the intermediate yields will drop. As a result, bonds at the ends of the yield curve will lose value or the intermediate bonds will increase in value. In either case, the bullet portfolio will outperform relative to a more diverse maturity index portfolio like the benchmark.
此题5年7年构成了个duration neutral的头寸 那不应该是一个long一个short嘛 那此时中期利率下降 整体port folio的return难道不应该不变的