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Echo218 · 2020年02月27日

问一道题:NO.PZ2019103001000060 [ CFA III ]

问题如下图:

选项:

A.

B.

C.

解释:

能否再多解释一下statement VI为什么是错的,答案没有看太明白

2 个答案

发亮_品职助教 · 2020年03月01日

“那么是否可以理解为,如果已经根据不同base currency的汇率hedged完之后,就是跟base currency无关了?这个关键点在于是hedged之后?”


是的,目标就是统一比较基准,Based currency不影响Hedge后的排序

发亮_品职助教 · 2020年02月28日

嗨,从没放弃的小努力你好:


"能否再多解释一下statement VI为什么是错的,答案没有看太明白"


回想在Inter-market strategies里,我们在一堆国家的债券里选择一支进行投资,要求找一个收益最高的债券来投。

这种题目的第一步:是我们把不同国家的债券,Hedge成一个Common currency之后进行比较,选出来收益最高的债券就已经是最好的债券了,Portfolio的Based currency一定不会影响债券之间的相对优劣关系。

原因是,当我们把债券Hedge成一个Common currency之后,例如,把所有债券都Hedge成USD,债券的收益已经是可比的了,收益大小自然已经排好顺序了,与我们Portfolio的Base currency货币是啥无关。我们Portfolio的计价货币是EUR/JPY/CNY都无所谓,都不会影响到所有债券以美元计价的收益排序。

Statement VI说:债券收益的相对优劣,取决于Base currency,这点完全错误,Hedge成任意一个Common Currency之后,所有债券的比较基准已定,债券收益的排序就是定死的,与我们Portfolio的Base currency是啥无关;例如上面的解释,把所有债券Hedge成USD收益之后,债券收益的排序就已定,我们是EUR Portfolio、还是CNY的Portfolio,看到这个以美元计价的收益排序是一样的,不受Base currency的影响。

参考原版书原句:


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


Echo218 · 2020年02月29日

谢谢解释!因为我之前的理解是,即使是全部转换成common currency来排序,也是需要根据不同base currency和common currency的汇率来进行转换,所以还是跟base currency有关的。 那么是否可以理解为,如果已经根据不同base currency的汇率hedged完之后,就是跟base currency无关了?这个关键点在于是hedged之后?

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NO.PZ2019103001000060 Statement V Statement VI C is correct. Winslow’s Statement VI is incorrect. e to covereinterest arbitrage, the relative attractiveness of bon es not penon the curreninto whithey are heefor comparison. Hence, the ranking of bon es not penon the base currenof the portfolio. A is incorrebecause Winslow’s Statement IV is correct. Inter-market tras shoulassesseon the basis of returns heeinto a common currency. ing so ensures ththey are comparable. Neither loccurrenreturns nor unheereturns are comparable across markets because they involve fferent currenexposures/risks. B is incorrebecause Winslow’s Statement V is correct. The primary iver of inter-market tras is anticipatechanges in yielfferentials. Over horizons most relevant for active bonmanagement, the capitgains/losses arising from yielmovements generally minate the income component of return (i.e., carry) anrolling wn the curve. Hence, expectations with respeto yielmovements are the primary iver of inter-market tra cisions. INTER-MARKET的驱动因素应该是利差保持不变吧?

2021-10-27 11:24 1 · 回答

NO.PZ2019103001000060 麻烦老师下A谢谢

2021-08-07 16:10 1 · 回答

NO.PZ2019103001000060 Statement V Statement VI C is correct. Winslow’s Statement VI is incorrect. e to covereinterest arbitrage, the relative attractiveness of bon es not penon the curreninto whithey are heefor comparison. Hence, the ranking of bon es not penon the base currenof the portfolio. A is incorrebecause Winslow’s Statement IV is correct. Inter-market tras shoulassesseon the basis of returns heeinto a common currency. ing so ensures ththey are comparable. Neither loccurrenreturns nor unheereturns are comparable across markets because they involve fferent currenexposures/risks. B is incorrebecause Winslow’s Statement V is correct. The primary iver of inter-market tras is anticipatechanges in yielfferentials. Over horizons most relevant for active bonmanagement, the capitgains/losses arising from yielmovements generally minate the income component of return (i.e., carry) anrolling wn the curve. Hence, expectations with respeto yielmovements are the primary iver of inter-market tra cisions. 帮忙下V的描述可以吗谢谢!

2021-04-11 15:14 1 · 回答

Statement V Statement VI C is correct. Winslow’s Statement VI is incorrect. e to covereinterest arbitrage, the relative attractiveness of bon es not penon the curreninto whithey are heefor comparison. Hence, the ranking of bon es not penon the base currenof the portfolio. A is incorrebecause Winslow’s Statement IV is correct. Inter-market tras shoulassesseon the basis of returns heeinto a common currency. ing so ensures ththey are comparable. Neither loccurrenreturns nor unheereturns are comparable across markets because they involve fferent currenexposures/risks. B is incorrebecause Winslow’s Statement V is correct. The primary iver of inter-market tras is anticipatechanges in yielfferentials. Over horizons most relevant for active bonmanagement, the capitgains/losses arising from yielmovements generally minate the income component of return (i.e., carry) anrolling wn the curve. Hence, expectations with respeto yielmovements are the primary iver of inter-market tra cisions.C 为什么汇率变动不影响return的排序,hee return=Rlc+Rfx 外币的升贬值会影响hee return呀

2021-01-27 22:53 2 · 回答

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