Explain how you would hedge a short position in a 5-year zero-coupon bond using a portfolio of 1-year zeros and 10-year zeros if the yield curve is normal as shown below. Would you experience gains or losses from this hedging strategy if the yield curve twists as shown below?

Maturity (years) 1 5 10

Spot rates (Normal yield curve) 4% 5% 6%

Spot rates (Twisted yield curve) 6% 5% 4%