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zxy · 2024年05月30日

答案给的是一种策略的两种称呼,能否用roll yield策略?

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NO.PZ201601050100001503

问题如下:

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。

题目中预期USD有forward premium,那么就意味着EUR/USD的basis=S-F小于0,可以short长期合约+long短期合约得到收益,这种方法是否可以?


关于这个方法我的回答:roll yield. Investors will short long-term forward contract and buy short-term forward contract if there is a forward premium. In these case, because US dollar is trading at a forward premium, Delgado should short long-term forward contract(EUR/USD) and long short-term forward contract to get a positive roll yield.

1 个答案

pzqa31 · 2024年05月31日

嗨,从没放弃的小努力你好:


同学,roll yield是签订forward带来的收益或者损失,是一个名词,并不是一种投资策略。

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