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Curve Flattening: A Study

September 15, 2015
Jun Yang and Karen Kinsey

Karen and Jun devise and share a relatively robust metric for comparing portfolios in terms of how resistant or vulnerable they are to yield curve flattening. While we do not predict a curve flattening, any more than we make any rate prediction, some readers may take comfort from their findings, which suggest that the current Level Playing Field® Strategic Portfolio (for banks) is more resistant to a so-called “flattener” than are most industry portfolios.

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