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A person running a hedge fund and are long a portfolio of Mortgage-Backed securities with...

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Finance

A person running a hedge fund and are long a portfolio of Mortgage-Backed securities with a market value of $100 million and an average effective duration of 3 and short a portfolio of treasury bonds with the same market value and effective duration. Under which interest rate scenario (lower rates, stable rates, higher rates) would you be most profitable? Explain why?

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