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.