本题解析

问题如下：

Guten Investments GmbH, based in Germany and using the EUR as its reporting currency, is an asset management firm providing investment services for local high net worth and institutional investors seeking international exposures. The firm invests in the Swiss, UK, and US markets, after conducting fundamental research in order to select individual investments. Exhibit 1 presents recent information for exchange rates in these foreign markets.

In prior years, the correlation between movements in the foreign-currency asset returns for the USD- denominated assets and movements in the exchange rate was estimated to be +0.50. After analyzing global financial markets, Konstanze Ostermann, a portfolio manager at Guten Investments, now expects that this correlation will increase to +0.80, although her forecast for foreign-currency asset returns is unchanged.

Ostermann believes that currency markets are efficient and hence that long-run gains cannot be achieved from active currency management, especially after netting out management and transaction costs. She uses this philosophy to guide hedging decisions for her discretionary accounts, unless instructed otherwise by the client.

Ostermann is aware, however, that some investors hold an alternative view on the merits of active currency management. Accordingly, their portfolios have different investment guidelines. For these accounts, Guten Investments employs a currency specialist firm, Umlauf Management, to provide currency overlay programs specific to each client‘s investment objectives. For most hedging strategies, Umlauf Management develops a market view based on underlying fundamentals in exchange rates. However, when directed by clients, Umlauf Management uses options and a variety of trading strategies to unbundle all of the various risk factors (the -Greeks-) and trade them separately.

Ostermann conducts an annual review for three of her clients and gathers the summary information presented in Exhibit 2.

1. Based on Exhibit 1, the domestic-currency return over the last year (measured in EUR terms) was higher than the foreign-currency return for:

选项：

A.

USD-denominated assets.

B.

GBP-denominated assets

C.

CHF-denominated assets.

解释：

C is correct.

The domestic-currency return is a function of the foreign-currency return and the percentage change of the foreign currency against the domestic currency. Mathematically, the domestic-currency return is expressed as:

R_DC = (1 + R_FC)(1 + R_FX) – 1

where R_DC is the domestic-currency return (in percent), R_FC is the foreign-currency return, and R_FX is the percentage change of the foreign currency against the domestic currency. Note that this R_FX expression is calculated using the investor‘s domestic currency (the EUR in this case) as the price currency in the P/B quote. This is different than the market-standard currency quotes in Exhibit 1, where the EUR is the base currency in each of these quotes. Therefore, for the foreign currency (USD, GBP, or CHF) to appreciate against the EUR, the market-standard quote (USD/EUR, GBP/EUR, or CHF/EUR, respectively) must decrease; i.e. the EUR must depreciate.

The Euro-Swiss (CHF/EUR) is the only spot rate with a negative change (from 1.2175 to 1.2080), meaning the EUR depreciated against the CHF (the CHF/EUR rate decreased). Or put differently, the CHF appreciated against the EUR, adding to the EUR-denominated return for the German investor holding CHF-denominated assets. This would result in a higher domestic-currency return (R_DC), for the German investor, relative to the foreign-currency return (R_FC) for the CHF-denominated assets. Both the Euro-dollar (USD/EUR) and Euro-sterling (GBP/EUR) experienced a positive change in the spot rate, meaning the EUR appreciated against these two currencies (the USD/EUR rate and the GBP/EUR rate both increased). This would result in a lower domestic-currency return (R_DC) for the German investor relative to the foreign-currency return (R_FC) for the USD- and GBP-denominated assets.

A is incorrect because the Euro-dollar (USD/EUR) experienced a positive change in the spot rate, meaning the EUR appreciated against the USD (the USD/EUR rate increased). This would result in a lower domestic-currency (i.e. EUR-denominated) return relative to the foreign-currency return for the USD-denominated assets, since the USD has depreciated against the EUR.

B is incorrect because the Euro-sterling (GBP/EUR) experienced a positive change in the spot rate, meaning the EUR appreciated against the GPB (the GBP/EUR rate increased). This would result in a lower domestic-currency (i.e. EUR-denominated) return relative to the foreign-currency return for the GBP-denominated assets, since the GBP has depreciated against the EUR.

中文解析：

本币是EUR，本题问的是R_DC大于RFC的是哪一个币种。

根据公式1+RDC=（1+RFC）×（1+RFX）可知，要使得RDC大于RFC，RFX应该大于0。、

并且要注意R_FX 的汇率表达形式是DC/FC。

因此外币升值的币种，或者对应本币贬值的那一个币种，即是使得RDC大于RFC的那一个币种。

表格1中给到的数据注意汇率表达形式是FC/DC的形式，研究对象是本币，因此找哪一组币种下本币是贬值的即可。

只有最后一列CHF/EUR中，本币EUR是贬值的，即对应的CHF是升值的，所以选择C