问题如下图：
选项：
A. 
B. 
C. 
NO.PZ201601050100000201问题如下Guten Investments GmbH, basein Germany anusing the EUR its reporting currency, is asset management firm proving investment services for lochigh net worth aninstitutioninvestors seeking internationexposures. The firm invests in the Swiss, UK, anUS markets, after concting funmentresearin orr to seleinviinvestments. Exhibit 1 presents recent information for exchange rates in these foreign markets.In prior years, the correlation between movements in the foreign-currenasset returns for the US nominateassets anmovements in the exchange rate westimateto +0.50. After analyzing globfinancimarkets, Konstanze Ostermann, a portfolio manager Guten Investments, now expects ththis correlation will increase to +0.80, although her forecast for foreign-currenasset returns is unchangeOstermann believes thcurrenmarkets are efficient anhenthlong-run gains cannot achievefrom active currenmanagement, especially after netting out management antransaction costs. She uses this philosophy to gui heing cisions for her scretionary accounts, unless instructeotherwise the client.Ostermann is aware, however, thsome investors holalternative view on the merits of active currenmanagement. Accorngly, their portfolios have fferent investment guilines. For these accounts, Guten Investments employs a currenspecialist firm, Umlauf Management, to provi currenoverlprograms specific to eaclient‘s investment objectives. For most heing strategies, Umlauf Management velops a market view baseon unrlying funmentals in exchange rates. However, when recteclients, Umlauf Management uses options ana variety of trang strategies to unbune all of the various risk factors (the -Greeks-) antra them separately.Ostermann concts annureview for three of her clients angathers the summary information presentein Exhibit 2.1. Baseon Exhibit 1, the mestic-currenreturn over the last ye(measurein EUR terms) whigher ththe foreign-currenreturn for:A.USnominateassets.B.GBP-nominateassetsC.CHF-nominateassets. C is correct.The mestic-currenreturn is a function of the foreign-currenreturn anthe percentage change of the foreign currenagainst the mestic currency. Mathematically, the mestic-currenreturn is expresseas:R = (1 + RFC)(1 + RFX) – 1where R is the mestic-currenreturn (in percent), RFC is the foreign-currenreturn, anRFX is the percentage change of the foreign currenagainst the mestic currency. Note ththis RFX expression is calculateusing the investor‘s mestic curren(the EUR in this case) the pricurrenin the P/B quote. This is fferent ththe market-stanrcurrenquotes in Exhibit 1, where the EUR is the base currenin eaof these quotes. Therefore, for the foreign curren(US GBP, or CHF) to appreciate against the EUR, the market-stanrquote (USEUR, GBP/EUR, or CHF/EUR, respectively) must crease; i.e. the EUR must preciate.The Euro-Swiss (CHF/EUR) is the only spot rate with a negative change (from 1.2175 to 1.2080), meaning the EUR preciateagainst the CHF (the CHF/EUR rate crease. Or put fferently, the CHF appreciateagainst the EUR, aing to the EUR-nominatereturn for the Germinvestor holng CHF-nominateassets. This woulresult in a higher mestic-currenreturn (R), for the Germinvestor, relative to the foreign-currenreturn (RFfor the CHF-nominateassets. Both the Euro-ll(USEUR) anEuro-sterling (GBP/EUR) experiencea positive change in the spot rate, meaning the EUR appreciateagainst these two currencies (the USEUR rate anthe GBP/EUR rate both increase. This woulresult in a lower mestic-currenreturn (R) for the Germinvestor relative to the foreign-currenreturn (RFfor the US anGBP-nominateassets.A is incorrebecause the Euro-ll(USEUR) experiencea positive change in the spot rate, meaning the EUR appreciateagainst the US(the USEUR rate increase. This woulresult in a lower mestic-curren(i.e. EUR-nominate return relative to the foreign-currenreturn for the USnominateassets, sinthe UShpreciateagainst the EUR.B is incorrebecause the Euro-sterling (GBP/EUR) experiencea positive change in the spot rate, meaning the EUR appreciateagainst the GPB (the GBP/EUR rate increase. This woulresult in a lower mestic-curren(i.e. EUR-nominate return relative to the foreign-currenreturn for the GBP-nominateassets, sinthe Ghpreciateagainst the EUR.中文解析本币是EUR，本题问的是R大于RFC的是哪一个币种。根据公式1+R=（1+RFC）×（1+RFX）可知，要使得R大于RFC，RFX应该大于0。、并且要注意RFX 的汇率表达形式是/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R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/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 中文解析是不是写反了？要使得R大于Rx，应该是找Rx小于0的？
NO.PZ201601050100000201 问题如下 1. Baseon Exhibit 1, the mestic-currenreturn over the last ye(measurein EUR terms) whigher ththe foreign-currenreturn for: A.USnominateassets. B.GBP-nominateassets C.CHF-nominateassets. C is correct.The mestic-currenreturn is a function of the foreign-currenreturn anthe percentage change of the foreign currenagainst the mestic currency. Mathematically, the mestic-currenreturn is expresseas:R = (1 + RFC)(1 + RFX) – 1where R is the mestic-currenreturn (in percent), RFC is the foreign-currenreturn, anRFX is the percentage change of the foreign currenagainst the mestic currency. Note ththis RFX expression is calculateusing the investor‘s mestic curren(the EUR in this case) the pricurrenin the P/B quote. This is fferent ththe market-stanrcurrenquotes in Exhibit 1, where the EUR is the base currenin eaof these quotes. Therefore, for the foreign curren(US GBP, or CHF) to appreciate against the EUR, the market-stanrquote (USEUR, GBP/EUR, or CHF/EUR, respectively) must crease; i.e. the EUR must preciate.The Euro-Swiss (CHF/EUR) is the only spot rate with a negative change (from 1.2175 to 1.2080), meaning the EUR preciateagainst the CHF (the CHF/EUR rate crease. Or put fferently, the CHF appreciateagainst the EUR, aing to the EUR-nominatereturn for the Germinvestor holng CHF-nominateassets. This woulresult in a higher mestic-currenreturn (R), for the Germinvestor, relative to the foreign-currenreturn (RFfor the CHF-nominateassets. Both the Euro-ll(USEUR) anEuro-sterling (GBP/EUR) experiencea positive change in the spot rate, meaning the EUR appreciateagainst these two currencies (the USEUR rate anthe GBP/EUR rate both increase. This woulresult in a lower mestic-currenreturn (R) for the Germinvestor relative to the foreign-currenreturn (RFfor the US anGBP-nominateassets.A is incorrebecause the Euro-ll(USEUR) experiencea positive change in the spot rate, meaning the EUR appreciateagainst the US(the USEUR rate increase. This woulresult in a lower mestic-curren(i.e. EUR-nominate return relative to the foreign-currenreturn for the USnominateassets, sinthe UShpreciateagainst the EUR.B is incorrebecause the Euro-sterling (GBP/EUR) experiencea positive change in the spot rate, meaning the EUR appreciateagainst the GPB (the GBP/EUR rate increase. This woulresult in a lower mestic-curren(i.e. EUR-nominate return relative to the foreign-currenreturn for the GBP-nominateassets, sinthe Ghpreciateagainst the EUR.中文解析本币是EUR，本题问的是R大于RFC的是哪一个币种。根据公式1+R=（1+RFC）×（1+RFX）可知，要使得R大于RFC，RFX应该大于0。、并且要注意RFX 的汇率表达形式是/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R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/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 题目应该问的本国的return 比foreign currenasset return 高吧？这里的foreign currenreturn ，我理解是指的外汇的收益吧？而非外汇资产的收益
