More Convexity=more protection from yield curve shifts and twists?

CFA Level III Fixed Income
#1

In Reading 23 Practice Problem Q4, portfolio B has less convexity than portfolio C and B provides more protection from yield curve shifts and twists.

Shouldn’t more convexity be desirable when considering yield curve changes?

#2

Don’t confuse protection (holding the bond and protecting yourself) with immunization (matching the bond against a liability).

#3

Can you elaborate on your explanation?

#4

If you are invested in a bond portfolio and not using it to immunise a specific liability then more convexity holding all else equal is a good thing. If you are buying a portfolio to immunise a single liability then you want less convexity with duration matching the main focus.

#5

Thank you.