NO.PZ201720190200000206
问题如下:
6. The best response to Nabli’s question about the relative performance of the two indexes is that Index B is most likely to exhibit returns that are:
选项:
A.
lower than those of Index A.
B.
the same as those of Index A.
C.
higher than those of index A.
解释:
C is correct.
Index B is likely to have higher performance than Index A in a market that is trending upward. Indexes that (perhaps inadvertently) contain contracts that more commonly trade in backwardation may improve forward-looking performance because this generates a positive roll return. Similarly, indexes that contain contracts that more commonly trade in contango may hurt performance for the same reason (i.e., negative roll return).
关于题目的理解:
第一,关于市场的整体情况,Market that is trending upward 这个条件给出,我们会知道投资者会操作的方向是long,在 backwardation 的结构下,long会带来正的roll yield,short则会带来负的roll yield,这个条件是必要的。
第二,两个index的情况,现在indexA的大多商品都是处在contango, 也就是RR<0, 而市场现在的情况是upward, 也相当于是一个contango,那么在index A当中的大宗商品根据市场价格roll进新的合约的时候,是不是Roll yield还是负的,那么RR就是负上加负;而index B整体的index中包含的大宗商品都是backwardation, 也就是roll yield是大于0的,在index B当中的大宗商品根据市场价格roll进新的合约的时候,是不是Roll yield也还是负的。但是它是在原来正的roll yield基础上向下减的,所以对比两者,一个负上加负,一个正上减负,所以index B的return会更好一些。
老师,我明白backwardation & contango 的条件下, roll turn 的收益情况: backwardation 的时候 正收益,因为价格下跌了,用原来的钱买到了更多的东西。肯定就是 positive return。 但是我是真没看出来,它这个题目是在问 roll turn。 我感觉从字面看,就是在问两个指数的表现。