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Arnie · 2022年11月09日

虽然能理解答案的解释,但是还是有点纠结

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NO.PZ201601050100000202

问题如下:

Guten Investments GmbH, based in Germany and using the EUR as its reporting currency, is an asset management firm providing investment services for local high net worth and institutional investors seeking international exposures. The firm invests in the Swiss, UK, and US markets, after conducting fundamental research in order to select individual investments. Exhibit 1 presents recent information for exchange rates in these foreign markets.

In prior years, the correlation between movements in the foreign-currency asset returns for the USD- denominated assets and movements in the exchange rate was estimated to be +0.50. After analyzing global financial markets, Konstanze Ostermann, a portfolio manager at Guten Investments, now expects that this correlation will increase to +0.80, although her forecast for foreign-currency asset returns is unchanged.

Ostermann believes that currency markets are efficient and hence that long-run gains cannot be achieved from active currency management, especially after netting out management and transaction costs. She uses this philosophy to guide hedging decisions for her discretionary accounts, unless instructed otherwise by the client.

Ostermann is aware, however, that some investors hold an alternative view on the merits of active currency management. Accordingly, their portfolios have different investment guidelines. For these accounts, Guten Investments employs a currency specialist firm, Umlauf Management, to provide currency overlay programs specific to each client‘s investment objectives. For most hedging strategies, Umlauf Management develops a market view based on underlying fundamentals in exchange rates. However, when directed by clients, Umlauf Management uses options and a variety of trading strategies to unbundle all of the various risk factors (the -Greeks-) and trade them separately.

Ostermann conducts an annual review for three of her clients and gathers the summary information presented in Exhibit 2.


2. Based on Ostermann‘s correlation forecast, the expected domestic-currency return (measured in EUR terms) on USD-denominated assets will most likely:

选项:

A.

increase.

B.

decrease.

C.

remain unchanged.

解释:

C is correct.

An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot exchange rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not change the level of expected domestic-currency return. The domestic-currency return risk is a function of the foreign-currency return risk [σ(RFC)] the exchange rate risk [σ(RFX)] and the correlation between the foreign-currency returns and exchange rate movements. Mathematically, this is expressed as:

σ2(RDC)σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX)\sigma^2{(R_{DC})}\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC}R_{FX})

If the correlation increases from +0.50 to +0.80, then the variance of the expected domestic-currency return will increase—but this will not affect the level of the expected domestic-currency return (RDC). Refer to the equation shown for the answer in Question 1 and note that Ostermann's expected RFC has not changed. (Once again, note as well that RFX is defined with the domestic currency as the price currency.)

A and B are incorrect. An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not impact the expected domestic-currency return.

中文解析:
问题问的是当相关性ρ(Rfc,Rfx)变大的时候,Rdc是如何变化的。

根据 Rdc=Rfc+Rfx+Rfc*Rfx公式,可知相关系数并不影响Rdc, 所以选择C。

Rdc的公式里面虽然没有提现Rfc和Rfx的相关性,但是在risk to domestic investor中却反复的提到了Rfc和Rfx的相关性,难道考虑相关性的时候只是在有风险的时候考虑吗?

在risk to domestic investor 中提到了 如果correlation<0 ,增加了domestic investor's return volatility

1 个答案
已采纳答案

Hertz_品职助教 · 2022年11月09日

嗨,从没放弃的小努力你好:


同学你好

1.     Rdc的公式里面虽然没有提现Rfc和Rfx的相关性,但是在risk to domestic investor中却反复的提到了Rfc和Rfx的相关性,难道考虑相关性的时候只是在有风险的时候考虑吗?

是的。

相关性影响的是风险risk,不是return。

2.     在risk to domestic investor 中提到了 如果correlation<0 ,增加了domestic investor's return volatility

回答:

如果相关性小于0,那么会降低风险的。这一点从计算风险的公式中也可以很明显的看到。

”domestic investor's return volatility”提到了volatility,也是在风险的角度进行衡量,因此这里应该是降低的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ201601050100000202 crease. remain unchange C is correct. increase in the expectecorrelation between movements in the foreign-currenasset returns anmovements in the spot exchange rates from 0.50 to 0.80 woulincrease the mestic-currenreturn risk but woulnot change the level of expectemestic-currenreturn. The mestic-currenreturn risk is a function of the foreign-currenreturn risk [σ(RFC)] the exchange rate risk [σ(RFX)] anthe correlation between the foreign-currenreturns anexchange rate movements. Mathematically, this is expresseas: σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX)\sigma^2{(R_{})}\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC}R_{FX})σ2(R​)≈σ2(RFC​)+σ2(RFX​)+2σ(RFC​)σ(RFX​)ρ(RFC​RFX​) If the correlation increases from +0.50 to +0.80, then the varianof the expectemestic-currenreturn will increase—but this will not affethe level of the expectemestic-currenreturn (R). Refer to the equation shown for the answer in Question 1 annote thOstermann's expecteRFC hnot change (Onagain, note well thRFX is finewith the mestic currenthe pricurrency.) A anB are incorrect. increase in the expectecorrelation between movements in the foreign-currenasset returns anmovements in the spot rates from 0.50 to 0.80 woulincrease the mestic-currenreturn risk but woulnot impathe expectemestic-currenreturn. 中文解析 问题问的是当相关性ρ(Rfc,Rfx)变大的时候,R是如何变化的。 根据 R=Rfc+Rfx+Rfc*Rfx公式,可知相关系数并不影响R, 所以选择和题目标题问题一致,因为按照exhibit 1 结合的方式,答案选了B

2021-11-10 20:43 1 · 回答

想问下这里答案写the spot exchange rates from 0.5 to 0.8 woulincrease the mestic-currenreturn risk but woulnot change the level of expectemestic-currenreturn. 一般而言,risk变化了,return不应该跟着变化吗?

2020-11-14 16:23 1 · 回答

    请问题目当中的correlation是RFC和spot FX,题中美元是FC,是不是可以理解美元收益率上升,usEUR上升,也就是EUR升值呢?

2019-06-07 16:11 1 · 回答

    选A有这样一个思路,FX 与 FC相关性变高,FX在题中 US值,导致FC收益率上升(相关性变高),所以上升。请帮忙解惑。

2019-03-25 10:39 1 · 回答