statement2 中文解释

NO.PZ202312250100001003 问题如下 TOPIRIVATIVESTOTPOINT VALUE OF THIS QUESTION SET IS 12 POINTSSarBransfielis the co-heof equities Schwinn Asset Management (Schwinn). Schwinn’s offerings inclu many internationmutufun anETFs focuseon velopemarkets.Schwinn’s existing clients have expresseinterest in having part of their portfolios allocateto emerging market fun. To meet this growing interest from existing clients, Schwinn is formulating investment strategy to create a new ETF. In this new ETF, Bransfielinten to hee both internationequity exposure anthe currenexposure of emerging markets. To researanunrstanthe emerging market space, Bransfielgathers tails of the potentiemerging markets presentein Exhibit 1 anlists the following strategies. Note: all currenquotes are in terms of the number of currenunits in the numerator per 1 unit of currenin the nominator.Strategy 1: Implement a carry tra in the currenpair INR/USStrategy 2: Implement a carry tra in the currenpair MXN/USStrategy 3: Implement a carry tra in the currenpair TRY/USThe annuyielfor the US is 5.25%.Bransfielseeks a eper unrstanng of the rivatives useto hee the exchange rate volatility of velopecountries. She scheles a meeting with Jerry McGraw, the portfolio manager of Schwinn InternationGrowth ETF (SIGF). In its prospectus to investors, SIGF incates thit actively manages equity anforeign currenexposures anththe ETF uses namic heing every month to rebalanexisting hees. One of the foreign currenasset holngs in SIGF is nominatein Canallars (CA. One month ago, SIGF fully heeits exposure using a six-month CAUSforwarcontraper the tails proviin Exhibit 2.McGraw, after reviewing the namic hee scenario, creates a presentation with all ta points for his upcoming monthly meeting with Bransfiel McGrmakes the following statements baseon his calculations.Statement 1: To establish the namic hee, the all-in rate useSIGF one month ago w1.3497.Statement 2: All else being equal, the roll yielon this namic hee the forwarcontract’s maturity will negative. scuss if the two statements ma McGrare correct. Justify earesponse. Statement 1 is incorrect.To establish the initihee one month ago, Schwinn must have solthe Canall(CA forwaragainst the USit is long CA Selling Cagainst USrequires buying US the base currenin the CAUSquote. Therefore, the offer si of the market must useThis means the all-in rate useone month ago woulhave been 1.3371 + (175/10,000) = 1.3546.Statement 2 is correct.To implement the hee, Schwinn must sell Cagainst the US whimeans buying US the base currenin CAUSquote. The base currenis in contango, meaning the base currenis trang a forwarpremium. Buying the base currenUSa forwarpremium anhaving to settle the forwarcontraselling the USspot a lower priwill result in a negative roll yiel Buying high anselling low will result in a negative roll yielMoreover, the UShpreciateagainst the CA because the CAUSspot rate creasebetween one month ago annow, whiwill also a to the negative roll yielTo earn a positive roll-yiel the base currenshoulsola forwarpremium or bought a forwarscount. all-in rate useSIGF one month ago这里是可以不一定用/FC来标价的对吗？但是计算Roll Yiel时候一定要用/FC标价？

NO.PZ202312250100001003 问题如下 scuss if the two statements ma McGrare correct. Justify earesponse. Statement 1 is incorrect.To establish the initihee one month ago, Schwinn must have solthe Canall(CA forwaragainst the USit is long CA Selling Cagainst USrequires buying US the base currenin the CAUSquote. Therefore, the offer si of the market must useThis means the all-in rate useone month ago woulhave been 1.3371 + (175/10,000) = 1.3546.Statement 2 is correct.To implement the hee, Schwinn must sell Cagainst the US whimeans buying US the base currenin CAUSquote. The base currenis in contango, meaning the base currenis trang a forwarpremium. Buying the base currenUSa forwarpremium anhaving to settle the forwarcontraselling the USspot a lower priwill result in a negative roll yiel Buying high anselling low will result in a negative roll yielMoreover, the UShpreciateagainst the CA because the CAUSspot rate creasebetween one month ago annow, whiwill also a to the negative roll yielTo earn a positive roll-yiel the base currenshoulsola forwarpremium or bought a forwarscount. Statement 1: To establish the namic hee, the all-in rate useSIGF one month ago w1.3497.Statement 1 is incorrect, it shoul1.3546Statement 2: All else being equal, the roll yielon this namic hee the forwarcontract’s maturity will negative.Statement 1 is correct,the roll yiel(S-F),sinthe spot currerate in CAUSpreciate, whiis backwartion, so the roll yieis negative.