QUESTION 6 Rick Long your chief investment officer shows the current yield in a meeting stating that we finally have a normal yield curve, we haven't seen one in a long time." Your supervisor follows the CIO's remark by stating that "based on our team's projections, we do not expect material changes to the curve in the foreseeable future." Based on this yield curve outlook, and considering that your portfolio's mandate allows duration to fluctuate +/- 0.30 per year from the benchmark duration, which of the following strategies should perform best over the coming year? OL. Sell your 4.8-year bonds (with a modified duration of 4.62) and buy 30-year MBS with an effective duration of 4.62. OII. Sell your 10-year bonds (with a modified duration of 8.78), and buy call options on a 10-year government bond futures. O III. Sell your 2-year bonds (modified duration of 1.91), and use the proceeds to buy 10-year bonds (with a modified duration of 8.78). QUESTION 6 Rick Long your chief investment officer shows the current yield in a meeting stating that we finally have a normal yield curve, we haven't seen one in a long time." Your supervisor follows the CIO's remark by stating that "based on our team's projections, we do not expect material changes to the curve in the foreseeable future." Based on this yield curve outlook, and considering that your portfolio's mandate allows duration to fluctuate +/- 0.30 per year from the benchmark duration, which of the following strategies should perform best over the coming year? OL. Sell your 4.8-year bonds (with a modified duration of 4.62) and buy 30-year MBS with an effective duration of 4.62. OII. Sell your 10-year bonds (with a modified duration of 8.78), and buy call options on a 10-year government bond futures. O III. Sell your 2-year bonds (modified duration of 1.91), and use the proceeds to buy 10-year bonds (with a modified duration of 8.78)