问题如下:
Raymond, a US analyst, is managing a fund with EUR-denominated assets. The USD/EUR spot rate is 1.1338, one-year forward exchange rate is 1.1369, while Raymond forecasts the expected spot rate is 1.1315. Assume the fund performance is measured in USD, the roll yield is:
选项:
A. 0.27%
B. -0.27%
C. -0.20%
解释:
A is correct.
考点:roll yield
解析:目前Raymond的资产是以欧元来计价的,将来要卖欧元换美元,因此持有的远期合约是卖欧元。当前有forward premium(forward exchange rate >spot rate),所以可以定性的判断出Roll yield为正。当然也可以计算出来,Roll yield=(1.1369-1.1338)/1.1338=0.27%。
roll yield的公示不是F—S/S么?