NO.PZ201812020100000701
问题如下：
Based on Prégent’s interest rate forecast over the next 12 months, the yield curve strategy that would most likely realize the highest profit is:
选项：
A.a carry trade.
B.a bullet structure.
C.duration management by buying long-term Canadian bonds.
解释：
B is correct.
A bullet performs well when the yield curve is expected to steepen. Since Prégent’s forecast is for long rates to rise and short rates to fall, this strategy will add value to the French client’s portfolio by insulating the portfolio against adverse moves at the long end of the curve. If short rates fall, the bullet portfolio gives up very little in profits given the small magnitude of price changes at the short end of the curve.
这个题目如果有个选项是barbell呢?
bullet的确yield curve变动对整体portfolio return的变动影响最小。但如果还是题目的情景，即短期利率下降，长期利率上升时，采用大部分配置短期，小部分配置长期，中期不配置，那这种barbell的策略不是会由于配置了大权重的短期，使得利率下降带来的好处更大，而虽然长期利率上升会使得长期债价格下降，但因为我配置的很少，所以影响小，整体看反而有收益。这样效果不是比单纯的bullet要好么？
如果不可以那什么时候应该采用barbell？
