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石欣灵 · 2020年09月29日

老师,这种类型的题,我一直算不太对,应该怎么做

Q. Among the carry trades available in the US, Euro, and UK markets, the highest expected return for the USD-denominated portfolio over the next 6 months is closest to:

  1. 0.275%.
  2. 0.85%.
  3. 0.90%.

B is correct. The highest potential return, 0.85%, reflects borrowing USD for 6 months and buying the UK 5-year bond. The carry component of the expected return is actually a loss of 0.15% [= (1.10% – 1.40%)/2], but this is more than offset by the 1% expected appreciation of GBP versus USD. A much higher carry component +0.90% = (1.95% – 0.15%)/2 could be obtained by borrowing for 6 months in EUR to buy the US 5-year note, but that advantage would be more than offset by the expected 1% loss from depreciation of the USD (long) against the Euro (short).

1 个答案

WallE_品职答疑助手 · 2020年09月29日

同学你好,

这道题,课后题有原题,您可以去听一下。

基本思路就是借一个国家的最低的利率,投一个国家的最高的利率,做差,然后剔除汇率的影响。

然后根据题目,你要依次去试 US, Euro, and UK

 

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