Question: For each scenario below, run a return attribution analysis for buying 1 - , 2 - and 3 - year Strips, and break down the

For each scenario below, run a return attribution analysis for buying 1-,2- and 3-year Strips, and break down the returns into the original yield, the roll down, and the interest rate risk components.
Scenario 1.
You expect all the spot rates to go up by \(\mathbf{2\%}\).
Change in spot rates
Is the roll down component equal to zero, negative, or positive?
Answer:
Why?
Answer:
How does the roll down component depend on the bond maturity?
Answer: Is the roll down component equal to zero, negative, or positive?
Answer:
Why?
Answer:
How does the roll down component depend on the bond maturity?
Answer:
Is the interest rate risk component equal to zero, negative, or positive?
Answer:
Why?
Answer:
How does the interest rate risk component depend on the bond maturity?
Answer:
For each scenario below, run a return attribution

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