NO.PZ2018111501000007
问题如下:
If the correlation between foreign-currency asset returns and movements in the exchange rate is increasing, the expected domestic-currency returns will:
选项:
A. increase
B. decrease
C. unchange.
解释:
C is correct.
考点:Currency Risk & Portfolio Return and Risk
解析:correlation的增加会影响domestic-currency risk,而不会影响returns。写出公式就能理解了:
,
感觉这题的结论和经典题某题的结论有矛盾,经典题某题结论是,只有currency overlay的收益和portfolio里面的assets收益越uncorrelated越能add value,说明不相关性可以增加收益。