on the page 251 it says
Derivative semiactive strategy attempt to add value by altering the duration of the underlying cash.
one simple approach could be to vary the duration between 90 days bills(cash) and 3year notes based on yield curve slope. When this segment of the yield curve slopes steeply, the manager should invest in longer-duration fixed income, because the higher yield compensates the investor for the increased risk.
It troubles me that when the yield curve slopes steeply which means interest increase, and based on FI section, short duration bond will outperform (less price decrease), doesn’t it?