NO.PZ2018111501000017
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:“Assume the fund performance is measured in USD”的意思是:衡量业绩使用的是USD,即本币是USD。
目前Raymond持有外币EUR计价的资产,将来要卖EUR,因此是short EUR forward。
short 外币EUR forward的roll yield
= F-S/S=(1.1369-1.1338)/1.1338=0.27%
持有外币资产 害怕外币贬值 short forward on usd/eur,然后再用roll yield公式计算?