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MarinaC · 2020年08月11日

问一道题:NO.PZ2019103001000060

问题如下:

Regarding inter-market trades in general her notes indicate:

IV. Inter-market trades should be assessed based on currency-hedged returns.

V. Anticipated changes in yield spreads are the primary driver of inter-market trades.

VI. Whether a bond offers a relatively attractive return depends on both the portfolio’s base currency and the currency in which the bond is denominated.

Which of Winslow’s statements about inter-market trades is incorrect?

选项:

A.

Statement IV

B.

Statement V

C.

Statement VI

解释:

C is correct.

Winslow’s Statement VI is incorrect. Due to covered interest arbitrage, the relative attractiveness of bonds does not depend on the currency into which they are hedged for comparison. Hence, the ranking of bonds does not depend on the base currency of the portfolio.

A is incorrect because Winslow’s Statement IV is correct. Inter-market trades should be assessed on the basis of returns hedged into a common currency. Doing so ensures that they are comparable. Neither local currency returns nor unhedged returns are comparable across markets because they involve different currency exposures/risks.

B is incorrect because Winslow’s Statement V is correct. The primary driver of inter-market trades is anticipated changes in yield differentials. Over horizons most relevant for active bond management, the capital gains/losses arising from yield movements generally dominate the income component of return (i.e., carry) and rolling down the curve. Hence, expectations with respect to yield movements are the primary driver of inter-market trade decisions.

不是选一个错误答案吗。。

1 个答案

发亮_品职助教 · 2020年08月12日

嗨,从没放弃的小努力你好:


这道题是让选出关于Inter-market trades描述错误的句子。

然后C选项的这句是错误的:

Whether a bond offers a relatively attractive return depends on both the portfolio’s base currency and the currency in which the bond is denominated.

所以我们这道题就直接选C。


C选项说:外币债券收益率大小的排序,会受到Portfolio base currency的影响,并且受到Bond计价货币的影响;

这点错误。

我们在一堆外币债券里对债券进行筛选、根据收益率的大小进行排序时,第一步是把所有的外币债券Hedge成一个Common currency;

那这样的话,所有债券的收益率大小已经可比了,这个排序的大小并不会受到我们Portfolio base currency的影响,事实上不管Portfolio base currency是啥,这个收益率大小的排序一直不会变。所以C选项说depends on both the portfolio’s base currency错误。

第二点是,当我们使用Forward对外币债券进行Hedge时,外币货币的影响会消除。所以不会受到债券计价货币涨跌的影响,所以C选项说的...and the currency in which the bond is denominated错误。


参考基础班讲义以下2个部分:

 


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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NO.PZ2019103001000060 麻烦老师下A谢谢

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