USD/GBP的Volatility低，可以说明GBP/USD的Volatility低吗

问题如下：

The second client, BC Fundos de Pensao (BC), manages pension funds for numerous local companies and has currency exposure to the USD, the EUR, and the GBP. BC wants Sabanai to provide guidance on using active currency management strategies for the portfolios they manage. Peixaria has been assigned this task and has collected information on one-year yield levels in the United States, United Kingdom, and Eurozone, as well as one-year implied volatility for various currency pairs extracted from option pricing models. This information is provided in Exhibit 2.

Based on the information in Exhibit 2, it would be best for Sabanai to implement a carry trade for BC by borrowing in:

选项：

A.

GBP and investing in USD

B.

USD and investing in GBP

C.

EUR and investing in GBP

解释：

Correct Answer: B

An appropriate active currency management strategy that may add value to BC's portfolios would be to borrow in USD and invest in GBP. The spread in yields is widest between the United Kingdom and the United States, and the USD/GBP currency pair has the lowest implied volatility, which is better for a carry trade.

A is incorrect. UK interest rates are the highest, so the GBP would be an appropriate currency to invest, not to borrow. US interest rates are the lowest, so the USD would be an appropriate funding currency, not an investment currency.

C is incorrect. The Eurozone has higher one-year yield levels compared to the US, so this would not be the appropriate funding currency. Furthermore, one-year implied volatility for the Eurozone is the highest, which does not benefit a carry trade.