CFA3級有關Immunization的問題

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在教材第4本有關fixed-incom portfolio之中,在immunization策略下有提到,immunization target rate of return is less than yield to maturity if the yield cure is upward-sloping; immunization target rate of return is larger than yield to maturity if the yield curve is downward-sloping because the higher reinvestment return.想請問,為什麼在downward-sloping的yield curve下,reinvestment rate is higher; 而upward-sloping yield curve, reinvestment return is lower? 

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关键词：immunization ATION CFA3 ATI CFA immunization

this is what i think:

if you immunize your portfolio, that is, your portfolio has small duration to eliminate the interest risk, which will be reinvested with short term rate. in a upward sloping environment, long term rate > short term rate. so the immunized return will be less than your YTM (which should have longer term than your immunized portfolio).

does it make sense?

phu003,

Your explanation does make sense and clear my confusion. I really appreciate your help.