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pinzhi7777 · 2019年11月02日

问一道题:NO.PZ2018091706000060

问题如下:

 Charles Hollingsworth is an investment strategist at Drawbridge Asset Partners (Drawbridge), an international investment firm. He is meeting with equity analyst Andrew Gillibrand and fixed-income analyst Eliana Navarro to discuss new investment opportunities and the economic factors they should consider as they make their investment selections.

Hollingsworth begins the meeting with the following statement:

"Before we look at new investment opportunities, I want to review some prior transactions. A few months ago, Drawbridge entered into a carry trade in a set of currencies. This morning, we were unfortunately forced to close out the position at a sizable loss as a result of unexpected market volatility."

The primary factor that was most likely the cause of Drawbridge's outcome in its carry trade was:



选项:

A.

flight to safety 

B.

leverage 

C.

stop-loss orders 

解释:

The primary reason for crash risks is related to the fact that carry trades are leveraged: The low-yield currency is borrowed, with proceeds invested in the high-yield currency. The leverage magnifies the effect of losses and gains relative to the investors' equity base. In low-volatility markets, investors can become complacent and allow positions to grow large in a search for yield. This crowded positioning tends to unwind rapidly when a market shock occurs because many traders try to exit their positions almost simultaneously before the leverage effects wipe out their equity. Stop-loss orders are triggered, and given the market uncertainty, there is a flight to safety that further increases demand for the low-yield currency.

解析:崩盘风险的主要原因与套利交易杠杆化相关联:低收益货币是借入的,而收益投资于高收益货币。杠杆放大了相对于投资者权益基础的损益效应。在波动性较低的市场,投资者可能会变得过于自信,为了寻求收益而允许头寸大幅增加。当市场震荡发生时,这类头寸往往会迅速平仓,因为许多交易员试图在杠杆效应抹去他们的股本之前退出头寸。所以B选项是最根本的原因。

当止损指令被触发时,鉴于市场的不确定性,投资者纷纷转向安全资产,从而进一步增加了对低收益货币的需求。所以AC选项只是表现,不入选。


麻烦老师解释一下a和c选项,指的是什么

c选项,记忆中是cfa1中,交易的一个策略

1 个答案

源_品职助教 · 2019年11月04日

flight to safety  主要是指人们因为避险情绪,把当前投资撤出,而集中于那些没有风险的产品。

stop-loss orders  是止损指令。比如8块价格买入资产,如果价格跌破7块,就决定卖出止损。

 

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NO.PZ2018091706000060 leverage stop-loss orrs The primary reason for crash risks is relateo the fathcarry tras are leverage The low-yielcurrenisborrowe with procee investein the high-yielcurrency. The leveragemagnifies the effeof losses angains relative to the investors' equitybase. In low-volatility markets, investors cbecome complacent anallowpositions to grow large in a searfor yiel This crowpositioning tento unwinrapiy when a market shooccurs because many trars try to exit theirpositions almost simultaneously before the leverage effects wipe out theirequity. Stop-loss orrs are triggere angiven the market uncertainty, thereis a flight to safety thfurther increases manfor the low-yielcurrency. 解析崩盘风险的主要原因与套利交易杠杆化相关联:低收益货币是借入的,而收益投资于高收益货币。杠杆放大了相对于投资者权益基础的损益效应。在波动性较低的市场,投资者可能会变得过于自信,为了寻求收益而允许头寸大幅增加。当市场震荡发生时,这类头寸往往会迅速平仓,因为许多交易员试图在杠杆效应抹去他们的股本之前退出头寸。所以B是最根本的原因。 当止损指令被触发时,鉴于市场的不确定性,投资者纷纷转向安全资产,从而进一步增加了对低收益货币的需求。所以A、C只是表现,不入选。 课程里只讲到了crash risk是由high leverage 导致的,但是A和C在哪里讲的呢?

2021-08-19 21:10 1 · 回答

请问题目中,哪里可以看出是leverage的呢?

2020-06-19 12:04 1 · 回答

请问A 问什么不对呢? 题干中有说因为觉得有不可控风险所以停止carry tra交易。跟A里面flight to safety意思一致呀?

2019-11-07 09:52 1 · 回答