开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

rena12 · 2020年03月06日

问一道题:NO.PZ2018111501000017 [ CFA III ]

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?

1 个答案

xiaowan_品职助教 · 2020年03月07日

嗨,努力学习的PZer你好:


同学你好,先明确一下在同样的期现结构下,long头寸和short头寸的roll yield的相反的。 F-S/S这个公司是针对short头寸来说的。

对这道题来说,持有EUR asset,所以担心EUR贬值,那么采用的就是short USD/EUR,roll yield=F-S/S,并没有错,F就是1.1369,S就是1.1338。

这里不能用1.1315,因为这不是远期合约的价格,只是他的一个预期。


-------------------------------
努力的时光都是限量版,加油!


  • 1

    回答
  • 1

    关注
  • 466

    浏览
相关问题

NO.PZ2018111501000017 问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. The USEUR spot rate is 1.1338, one-yeforwarexchange rate is 1.1369, while Raymond forecasts the expectespot rate is 1.1315. Assume the funperformanis measurein US the roll yielis: 0.27% -0.27% -0.20% A is correct. 考点roll yiel 解析“Assume the funperformanis measurein US的意思是衡量业绩使用的是US即本币是US目前Raymon有外币EUR计价的资产,将来要卖EUR,因此是short EUR forwarshort 外币EUR forwarroll yiel= F-S/S=(1.1369-1.1338)/1.1338=0.27% 请问expectespot rate 1.1315需要怎么用呢?

2024-07-16 21:19 1 · 回答

NO.PZ2018111501000017 问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. The USEUR spot rate is 1.1338, one-yeforwarexchange rate is 1.1369, while Raymond forecasts the expectespot rate is 1.1315. Assume the funperformanis measurein US the roll yielis: 0.27% -0.27% -0.20% A is correct. 考点roll yiel 解析“Assume the funperformanis measurein US的意思是衡量业绩使用的是US即本币是US目前Raymon有外币EUR计价的资产,将来要卖EUR,因此是short EUR forwarshort 外币EUR forwarroll yiel= F-S/S=(1.1369-1.1338)/1.1338=0.27% 我理解是short EUR forwar头寸,用(f-s)/s=roll yiel进行计算但是说这个funperformanis measurein US话是否要把S 和 F转换成 EUR/US进行计算,如果转换了是否是变成long forwaron US头寸能整体梳理一下这道题么?谢谢

2022-05-19 14:14 2 · 回答

NO.PZ2018111501000017问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. The USEUR spot rate is 1.1338, one-yeforwarexchange rate is 1.1369, while Raymond forecasts the expectespot rate is 1.1315. Assume the funperformanis measurein US the roll yielis: 0.27% -0.27% -0.20% A is correct. 考点roll yiel 解析“Assume the funperformanis measurein US的意思是衡量业绩使用的是US即本币是US目前Raymon有外币EUR计价的资产,将来要卖EUR,因此是short EUR forwarshort 外币EUR forwarroll yiel= F-S/S=(1.1369-1.1338)/1.1338=0.27% 题目并没有说short 还是 long fw 所以ROLL YIEL的正负 怎么判断啊?或者是说分子应该F-S 还是S-F?

2022-04-04 00:50 1 · 回答

NO.PZ2018111501000017问题如下 Raymon a US analyst, is managing a funwith EUR-nominateassets. The USEUR spot rate is 1.1338, one-yeforwarexchange rate is 1.1369, while Raymond forecasts the expectespot rate is 1.1315. Assume the funperformanis measurein US the roll yielis: 0.27% -0.27% -0.20% A is correct. 考点roll yiel 解析“Assume the funperformanis measurein US的意思是衡量业绩使用的是US即本币是US目前Raymon有外币EUR计价的资产,将来要卖EUR,因此是short EUR forwarshort 外币EUR forwarroll yiel= F-S/S=(1.1369-1.1338)/1.1338=0.27% 请问老师既然问的是美元的roll yiel为什么不能用[1/1.1369-1/1/1338]/(1/1.1338)来算呢?

2022-03-28 09:49 1 · 回答

NO.PZ2018111501000017 Q1 f-s/s 这里的s指的是现在的spoter不是将来预期的spot是么 Q2 这个rolling yiel是没怎么理解 能讲解一下么

2022-02-26 10:22 1 · 回答