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Ykit · 2023年04月30日

No.PZ2023041102000022

NO.PZ2023041102000022

问题如下:

Thibodeaux notes that while fundamental-based models are useful in explaining longer-term trends in exchange rates, they are of limited value when it comes to explaining short-trends. He explains:

“Technical analysis, as well as order flow, sentiment, and positioning indicators have been more successful for short-term exchange rate forecasting,”

The discussion of short-exchange rate forecasting continues with the following comments:

Beauregard:“Technical analysis is not likely to benefit our emerging market trades because the currencies are thinly traded.”

Thibodeaux:“Utilizing trend following in our carry trade strategy should protect us from experiencing losses in a market unwind.”

Beauregard:“Monitoring market sentiment by following the trend in risk reversals should enable us to predict and confirm currency rate movements on our trades.”

Which of the comments about short-term exchange rate forecasting is the most accurate? The comment by:

选项:

A.Beauregard regarding their emerging market trades. B.Beauregard regarding monitoring market sentiment. C.Thibodeaux regarding their carry trade strategy.

解释:

Thibodeaux’s comment about the carry trade strategy is the most accurate. Although carry trade strategies can generate attractive returns over long periods, the distribution of the returns suggest that carry trades are sometimes prone to significant downside tail risk during carry trade unwinds. Thus, a trend-following trading system overlaid on a carry trade strategy could warn investors to step aside during unwinds.

 a trend-following trading system overlaid on a carry trade strategy could warn investors to step aside during unwinds.


这句话可以请帮忙解释一下么?什么叫 a trend-following trading system overlaid on a carry trade strategy?

1 个答案

笛子_品职助教 · 2023年05月04日

嗨,从没放弃的小努力你好:


这句话可以请帮忙解释一下么?什么叫 a trend-following trading system overlaid on a carry trade strategy?

叠加套利交易策略的趋势跟踪交易系统。


趋势跟踪系统,就是追涨杀跌,上涨买入,下跌卖出。如果上涨后持续上涨,就一直持有,可以赚得较大的回报。

而套利交易,做均值回归,一旦短期内均值扩开走趋势不回归,套利就会亏损。这就是下行尾部风险。


如果趋势跟踪系统叠加套利交易,就可以避免这个风险。当套利交易亏损,市场不均值回归,走趋势的时候,趋势跟踪系统可以捕捉到趋势并获利。



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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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