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Ethan · 2022年03月30日

为什么不考虑对汇率的影响？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003102

问题如下：

Which of the following active portfolios is expected to have the highest excess return versus the index if European economies are expected to experience an earlier and much stronger credit cycle recovery than the United States?

选项：

A.

EUR HY 50.0%, EUR IG 25.0%, USD IG 12.5%, USD HY 12.5%

B.

EUR IG 50.0%, EUR HY 25.0%, USD IG 12.5%, USD HY 12.5%

C.

EUR HY 33.3%, US HY 33.3%, EUR IG 16.7%, USD IG 16.7%

解释：

A is correct. Given that high-yield spreads are expected to fall the most in an economic recovery, the manager should choose the portfolio with the highest percentage of EUR HY credit exposure.

欧洲相对美国经济恢复，那说明预期欧洲加息，欧元走软，是否应该控制总体欧洲的仓位？我理解是，欧洲经济恢复只能推导出欧洲内部应该多配HY。请老师详细解释一下

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已采纳答案

pzqa015 · 2022年03月31日

嗨，爱思考的PZer你好：


欧洲经济比美国经济恢复好，所以要多配欧洲债，欧洲经济变好，所以要多配HYB，这就是这道题的逻辑。

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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.PZ202112010200003102 老师，可以下这道题吗？谢谢

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