Which are the three yield curve factors that have been shown to affect Treasury security returns...

Which are the three yield curve factors that have been shown to affect Treasury security returns and which has the strongest impact?

A) Slope, Curve and Weight; with slope being the most impactful

B) Level Slope and Curve; with level being the most impactful

C) Level Slope and Convexity; with convexity being the most impactful

D) Spot, forward and par; with spot being the most impactful

Solutions

Expert Solution

Level Slope and Curve; with level being the most impactful [“level” (88.5%), “slope” (8.5%) and “curvature” (2.1%)]

Option B is correct

jeff jeffy answered 1 year ago

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