NO.PZ201601050100001503
问题如下:
Identify two strategies Delgado should use to earn a positive roll yield.
Describe the specific steps needed to execute each strategy.
选项:
解释:
Given that the base currency (the US dollar) is trading at a forward premium,
the hedge requires the sale of US dollar forward, resulting in a positive roll
yield. The concept of roll yield is very similar to forward rate bias and the carry
trade. Here, Delgado is suggesting a strategy to pursue when there is a negative
roll yield, because a hedger trading against the forward bias would be buying
US dollars at a forward premium instead of selling them. The carry trade strategy of borrowing in low-yield currencies and investing in high-yield currencies
is equivalent to trading the forward rate bias, not against it.
中文解析:
基于整个题干的背景可知:本币是EUR,外币是USD。因此担心外币贬值,需要short forward on EUR/USD(也就是解析里面说的base currency应该是USD)
现在美元存在远期溢价,即F>S,所以short forward on EUR/USD的头寸,计算roll yield=F-S/S也会有正的收益。
另外因为美元的利率低于欧元的利率,可以执行carry trade策略,借低利率货币投资于高利率货币,其中低利率货币又叫做forward premium currency,高利率货币又叫做forward discount currency。
题目里面说现在是100%hedge,carry trade不是适合不对冲情况下套利吗?