问题如下图：
选项：
A. 
B. 
C. 
解释：
请问题目当中的correlation是RFC和spot FX，题中美元是FC，是不是可以理解美元收益率上升，usd/EUR上升，也就是EUR升值呢？
NO.PZ201601050100000202 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 2.2. Baseon Ostermann‘s correlation forecast, the expectemestic-currenreturn (measurein EUR terms) on USnominateassets will most likely: A.increase. B.crease. C.remain unchange C is correct.increase in the expectecorrelation between movements in the foreign-currenasset returns anmovements in the spot exchange rates from 0.50 to 0.80 woulincrease the mestic-currenreturn risk but woulnot change the level of expectemestic-currenreturn. The mestic-currenreturn risk is a function of the foreign-currenreturn risk [σ(RFC)] the exchange rate risk [σ(RFX)] anthe correlation between the foreign-currenreturns anexchange rate movements. Mathematically, this is expresseas:σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX)\sigma^2{(R_{})}\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC}R_{FX})σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX)If the correlation increases from +0.50 to +0.80, then the varianof the expectemestic-currenreturn will increase—but this will not affethe level of the expectemestic-currenreturn (R). Refer to the equation shown for the answer in Question 1 annote thOstermann's expecteRFC hnot change (Onagain, note well thRFX is finewith the mestic currenthe pricurrency.)A anB are incorrect. increase in the expectecorrelation between movements in the foreign-currenasset returns anmovements in the spot rates from 0.50 to 0.80 woulincrease the mestic-currenreturn risk but woulnot impathe expectemestic-currenreturn.中文解析问题问的是当相关性ρ（Rfc,Rfx）变大的时候，R是如何变化的。根据 R=Rfc+Rfx+Rfc*Rfx公式，可知相关系数并不影响R, 所以选择 R的公式里面虽然没有提现Rfc和Rfx的相关性，但是在risk to mestic investor中却反复的提到了Rfc和Rfx的相关性，难道考虑相关性的时候只是在有风险的时候考虑吗？在risk to mestic investor 中提到了 如果correlation 0 ，增加了mestic investor's return volatility
NO.PZ201601050100000202 crease. remain unchange C is correct. increase in the expectecorrelation between movements in the foreign-currenasset returns anmovements in the spot exchange rates from 0.50 to 0.80 woulincrease the mestic-currenreturn risk but woulnot change the level of expectemestic-currenreturn. The mestic-currenreturn risk is a function of the foreign-currenreturn risk [σ(RFC)] the exchange rate risk [σ(RFX)] anthe correlation between the foreign-currenreturns anexchange rate movements. Mathematically, this is expresseas: σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX)\sigma^2{(R_{})}\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC}R_{FX})σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX) If the correlation increases from +0.50 to +0.80, then the varianof the expectemestic-currenreturn will increase—but this will not affethe level of the expectemestic-currenreturn (R). Refer to the equation shown for the answer in Question 1 annote thOstermann's expecteRFC hnot change (Onagain, note well thRFX is finewith the mestic currenthe pricurrency.) A anB are incorrect. increase in the expectecorrelation between movements in the foreign-currenasset returns anmovements in the spot rates from 0.50 to 0.80 woulincrease the mestic-currenreturn risk but woulnot impathe expectemestic-currenreturn. 中文解析 问题问的是当相关性ρ（Rfc,Rfx）变大的时候，R是如何变化的。 根据 R=Rfc+Rfx+Rfc*Rfx公式，可知相关系数并不影响R, 所以选择和题目标题问题一致，因为按照exhibit 1 结合的方式，答案选了B
想问下这里答案写the spot exchange rates from 0.5 to 0.8 woulincrease the mestic-currenreturn risk but woulnot change the level of expectemestic-currenreturn. 一般而言，risk变化了，return不应该跟着变化吗？
选A有这样一个思路，FX 与 FC相关性变高，FX在题中 US值，导致FC收益率上升（相关性变高），所以上升。请帮忙解惑。
