NO.PZ202112010200000803
问题如下：
Which of the following statements best describes how the expected total return results would change if THB yields were to rise significantly over the investment horizon?
选项：
A. Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns
would increase due to higher THB yields.
B. Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns would decrease due to higher THB yields.
C. The Buy-and-Hold expected portfolio returns would be unchanged and the Yield Curve Rolldown expected portfolio returns would decrease due to the rise in yields.
解释：
C is correct.
In a higher THB yield
scenario in one year, the Yield Curve Rolldown
expected return would fall since a higher THB yield-to-maturity in
one year would reduce
the price at which the investor could sell the 1-year zero in one year.
The Buy-and-Hold portfolio return will be unaffected since the 1-year bond matures at the end of the investment horizon.
题干说，在一年投资期内显著上升，不是说一年后显著上升。如果一年内平均地上升，buy and hold 的return也是会下降吧？
