If the Yield on Mortgage-Backed Securities Was Abnormally High Compared

Multiple Choice

If the yield on mortgage-backed securities was abnormally high compared to Treasury bonds, a hedge fund pursuing a relative value strategy would

A) short sell the Treasury bonds and short sell the mortgage-backed securities.
B) short sell the Treasury bonds and buy the mortgage-backed securities.
C) buy the Treasury bonds and buy the mortgage-backed securities.
D) buy the Treasury bonds and short sell the mortgage-backed securities.
E) None of the options are correct.