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vivian_zm · 2017年05月31日

CFA 二级2016 MOCK PM Alternatives问题

请问·:B为什么不正确?不是表达了同个意思吗??


• roll returns of both indexes reflect the respective storage costs associated with each class of commodity,

• roll return of the agricultural subindex is negative when the agricultural futures market has been in contango, and

• roll return of the energy subindex is positive when energy futures prices have been lower than spot prices."


53. Which of Davidson's comments regarding roll return is most likely accurate?
A. His statement regarding storage costs

B. His statement regarding the agricultural subindex

C. His statement regarding the energy subindex
Answer = C
When the futures prices are lower (higher) than spot prices, the futures market is said to be in backwardation (contango), which results in a positive (negative) roll return. There are storage costs associated with both agriculture and energy, so a difference in storage costs would not explain the difference in the roll return.

1 个答案
老师答案

嗯,这个题目应该是有误,B说的也正确的。

李斯克 · 2017年05月31日

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