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.
the same as those of Index A.
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。
这道题只考虑roll return,但是price return也应该有影响吧?关于这个问题,梳理一下,老师一共分别回答了两个逻辑:
1.这里题目中有个条件是从forward looking 的角度来看,既然是往未来看,会不断滚进新合约,就会不断产生roll return,所以主要是看 roll yield
2.因为price return表示的现在价格与过去价格的关系,是已经实现的部分,而roll return是表示未来会获得的收益,所以只用考虑roll return就可以。
问:
1.forward looking 条件在哪里,没看到
2.price return表示的现在价格与过去价格的关系,但是因为Market that is trending upward ,contango的情况下,初始F0价格不变,期货价格变高,price return=fn-f0/f0,不就是price return>0吗?