NO.PZ201601050100001503
问题如下:
Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks
assistance with his well-diversified investment portfolio denominated in US dollars.
Rivera’s reporting currency is the euro, and he is concerned about his US dollar
exposure. His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s
market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering
a monthly hedge using either a one-month forward contract or one-month futures
contract.
Assume Rivera’s portfolio was perfectly hedged. It is now time to rebalance the
portfolio and roll the currency hedge forward one month. The relevant data for rebalancing are provided in Exhibit 1.
With the US dollar currently trading at a forward premium and US interest rates
lower than Spanish rates, Delgado recommends trading against the forward rate bias
to earn additional return from a positive roll yield.
Identify two strategies Delgado should use to earn a positive roll yield.
Describe the specific steps needed to execute each strategy.
选项:
解释:
Given that the base currency (the US dollar) is trading at a forward premium,
the hedge requires the sale of US dollar forward, resulting in a positive roll
yield. The concept of roll yield is very similar to forward rate bias and the carry
trade. Here, Delgado is suggesting a strategy to pursue when there is a negative
roll yield, because a hedger trading against the forward bias would be buying
US dollars at a forward premium instead of selling them. The carry trade strategy of borrowing in low-yield currencies and investing in high-yield currencies
is equivalent to trading the forward rate bias, not against it.
中文解析:
基于整个题干的背景可知:本币是EUR,外币是USD。因此担心外币贬值,需要short forward on EUR/USD(也就是解析里面说的base currency应该是USD)
现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸,计算roll yield=F-S/S也会有正的收益。
另外因为美元的利率低于欧元的利率,可以执行carry trade策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forward premium currency,高利率货币又叫做forward discount currency。
请问这道题的视频讲解有吗?在哪里?