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必过1030_ · 2020年01月26日

问一道题:NO.PZ201902210100000103

* 问题详情,请 查看题干

问题如下:

Among the carry trades available in the US, Euro, and UK markets, the highest expected return for the USD-denominated portfolio over the next 6 months is closest to:

选项:

A.

0.275%.

B.

0.85%.

C.

0.90%.

解释:

B is correct.

The highest potential return, 0.85%, reflects borrowing USD for 6 months and buying the UK 5-year bond. The carry component of the expected return is actually a loss of 0.15% [= (1.10% – 1.40%)/2], but this is more than offset by the 1% expected appreciation of GBP versus USD. A much higher carry component +0.90% = (1.95% – 0.15%)/2 could be obtained by borrowing for 6 months in EUR to buy the US 5-year note, but that advantage would be more than offset by the expected 1% loss from depreciation of the USD (long) against the Euro (short).

A is incorrect because a higher expected return of 0.85% can be obtained. This answer, +0.275% [= (1.95% – 1.40%)/2], is the highest carry available over the next 6 months within the US market itself (an intra-market carry trade).

C is incorrect. This answer (+0.90%) is the highest potential carry component of return but ignores the impact of currency exposure (being long the depreciating USD and short the appreciating Euro).

appreciation为什么不除以二呢?

1 个答案

发亮_品职助教 · 2020年02月03日

嗨,从没放弃的小努力你好:


“appreciation为什么不除以二呢?”


对应的题干信息在这里:

Winslow expects yields in the US, Euro, UK, and Greek markets to remain stable over the next six months. She expects Mexican yields to decline to 7.0% at all maturities. Meanwhile, she projects that the Mexican Peso will depreciate by 2% against the Euro, the US Dollar will depreciate by 1% against the Euro, and the British Pound will remain stable versus the Euro.

本题这里都是对未来6个月作出来的利率、汇率预测。因为题干只对未来6个月的状况作出了预测,所以这个Case的所有策略,执行期限都是未来6个月。

因为题干表格里给的利率是年化数据,所以在算策略收益时利率除以了2。而汇率的预测就是对未来6个月、策略执行期间汇率变动的预测,所以不用除以2。所以在算策略总收益时,汇率的变化直接加上去即可。


对于汇率,如果题目说未来1年汇率升值10%,那我们不能说半年就升值5%,不存在这个关系。对于汇率的预测,我们只关心投资期内汇率的升贬值幅度,所以题干信息给的汇率升贬值都是和投资期一样的,这道题的投资期是6个月,所以升贬值浮动就是这6个月的,在算6个月的策略总收益时直接加上去即可,不用除以2.


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虽然现在很辛苦,但努力过的感觉真的很好,加油!