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Fix income portfolio management Mock 2010 Q36
contribution to spread durantoin:credit sector is 1.1,treasury sector is 0
Forecast1:spreads to narrow in all other spread sectors
Forecast2:a positively sloped yield curve with short rates rising 25 basis points and long rates rising by about 75 basis points.
ans:lengthen duration in credit sector and shorten it in the treasury sector
in my opinion :in a rising interest environment, investor should shorten duration in credit sector
what ‘s wrong with my answer? |
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