2016 Mock PM
我想问两道题：
Q54. Which of Davidson's descriptions of the futures return models is most likely correct?
A. The description of the theory of storage
B. The description of the hedging pressure hypothesis
C. The description of the insurance perspective
Answer = B
The hedging pressure hypothesis states that investors will receive a risk premium that is a
positive excess return for going short in a "normal contangoed" commodity futures market. The insurance perspective assumes that hedgers hold long positions in the underlying commodity and short positions in the futures to hedge their risk. The theory of storage predicts an inverse relationship between the level of inventories and the convenience yield.
关于hedging pressure hypothesis，case原文中的表述是“hedging pressure hypothesis, in which investors will receive a risk premium that is a positive excess return for going short in a 'normal contangoed' commodity futures market”。我没太看明白，老师能否用中文解释一下？
Q53. Which of Davidson's comments regarding roll return is most likely accurate?
A. His statement regarding storage costs
B. His statement regarding the agricultural subindex
C. His statement regarding the energy subindex
Answer = C
When the futures prices are lower (higher) than spot prices, the futures market is said to be in backwardation (contango), which results in a positive (negative) roll return. There are storage costs associated with both agriculture and energy, so a difference in storage costs would not explain the difference in the roll return.
这题Energy是future price < spot price， 所以正的roll yield，我理解；但是我想不明B错在哪里？谢谢！
