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濛濛熊 · 2020年02月24日

问一道题:NO.PZ201720190200000307

* 问题详情,请 查看题干

问题如下:

7. The most appropriate response to the new committee member’s question is that:

选项:

A.

roll returns are negatively correlated with price returns.

B.

such roll returns are the result of futures markets in backwardation.

C.

such positions may outperform other positions that have positive roll returns.

解释:

C is correct.

Investment positions are evaluated on the basis of total return, and the roll return is part of the total return. Even though negative roll return negatively affects the total return, this effect could be more than offset by positive price and collateral returns. Therefore, it is possible that positions with negative roll returns outperform positions with positive roll returns, depending on the price and collateral returns.

请问老师,能再解释一下C选项吗,roll return已经是负的了,为什么还能outperform。A选项,在本题中roll return是负数,是negative affect,为什么不能选呢?谢谢

1 个答案

xiaowan_品职助教 · 2020年02月25日

嗨,努力学习的PZer你好:


同学你好,这道问题的意思是在已知negative roll return的前提下,为什么还要选择用这样的头寸。那么就要看哪种解释是有可能让这个头寸有较好的收益。C选项的意思是,因为我们衡量的是total return,所以如果price return和collateral return的增长可以抵消roll return的损失,那么这个头寸仍有可能做到outperform。A选项的错误在于,roll return 和 price return并不存在稳定的负相关关系,这不能作为选定头寸的理由。


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努力的时光都是限量版,加油!


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相关问题

NO.PZ201720190200000307 问题如下 7. The most appropriate response to the new committee member’s question is that: A.roll returns are negatively correlatewith prireturns. B.suroll returns are the result of futures markets in backwartion. C.supositions moutperform other positions thhave positive roll returns. C is correct. Investment positions are evaluateon the basis of totreturn, anthe roll return is part of the totreturn. Even though negative roll return negatively affects the totreturn, this effecoulmore thoffset positive priancollaterreturns. Therefore, it is possible thpositions with negative roll returns outperform positions with positive roll returns, penng on the priancollaterreturns. “Therefore, it is possible thpositions with negative roll returns outperform positions with positive roll returns, penng on the priancollaterreturns.” 最后这段话是什么意思?老师可以帮忙下吗?

2022-10-02 19:50 1 · 回答

请问A错了是不是因为price上升(positive prireturn)也可能会有positive roll return? 比如 今年2月 ¥50 4月的FP=¥30 然后到了7月¥70 8月FP=¥60, absolute value来看是上升 positive prireturn 而且是backwartion 有positive roll return? 所以两者的关系是(1)contango一定是价格上升,但价格上升不一定能证明是contango,判断是否contango还是backwartion要看到期的FP价格和最近一期要roll买入的FP价格,和价格上升下降的曲线没有关系。请问是这样理解的吗? 谢谢

2020-11-13 07:19 1 · 回答

B为什么不对?

2020-08-16 23:10 1 · 回答

suroll returns are the result of futures markets in backwartion. supositions moutperform other positions thhave positive roll returns. C is correct. Investment positions are evaluateon the basis of totreturn, anthe roll return is part of the totreturn. Even though negative roll return negatively affects the totreturn, this effecoulmore thoffset positive priancollaterreturns. Therefore, it is possible thpositions with negative roll returns outperform positions with positive roll returns, penng on the priancollaterreturns. 老师,看了前一个讲解,您提到roll return和prireturn不是负相关关系,可是backwar况下,roll return 为正,而pri是下降的,则prireturn为负,这不就是负相关嘛?请老师指正,谢谢

2020-05-25 03:29 1 · 回答