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Viva · 2020年07月13日

问一道题:NO.PZ2019103001000060

问题如下:

Regarding inter-market trades in general her notes indicate:

IV. Inter-market trades should be assessed based on currency-hedged returns.

V. Anticipated changes in yield spreads are the primary driver of inter-market trades.

VI. Whether a bond offers a relatively attractive return depends on both the portfolio’s base currency and the currency in which the bond is denominated.

Which of Winslow’s statements about inter-market trades is incorrect?

选项:

A.

Statement IV

B.

Statement V

C.

Statement VI

解释:

C is correct.

Winslow’s Statement VI is incorrect. Due to covered interest arbitrage, the relative attractiveness of bonds does not depend on the currency into which they are hedged for comparison. Hence, the ranking of bonds does not depend on the base currency of the portfolio.

A is incorrect because Winslow’s Statement IV is correct. Inter-market trades should be assessed on the basis of returns hedged into a common currency. Doing so ensures that they are comparable. Neither local currency returns nor unhedged returns are comparable across markets because they involve different currency exposures/risks.

B is incorrect because Winslow’s Statement V is correct. The primary driver of inter-market trades is anticipated changes in yield differentials. Over horizons most relevant for active bond management, the capital gains/losses arising from yield movements generally dominate the income component of return (i.e., carry) and rolling down the curve. Hence, expectations with respect to yield movements are the primary driver of inter-market trade decisions.

答案A:不是intra market不同市场的收益才在heged的前提下可比较吗。为什么答案是inter market

1 个答案

发亮_品职助教 · 2020年07月14日

嗨,爱思考的PZer你好:


"答案A:不是intra market不同市场的收益才在heged的前提下可比较吗。为什么答案是inter market"


这里是这样,Inter-market选择债券投资时,需要Hedge,然后比较;Intra-market不存在Hedge的问题。


Intra market就是市场内部的投资,比如在US内部投资债券,因为所有的债券都是以US计算,所以不存在Hedge的问题;

Inter market是跨市场投资,比如在US/UK/EUR三个地方选出最收益最高的债券投资,因为三个货币单位不同,债券的收益率不可直接相比,因此需要将他们先Hedge成一个Common currency,统一货币标准之后,比较收益率是OK的。因此针对Inter-market,我们比较收益率大小时,需要先Hedge成Common currency,然后才能比较收益。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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NO.PZ2019103001000060 Statement V Statement VI C is correct. Winslow’s Statement VI is incorrect. e to covereinterest arbitrage, the relative attractiveness of bon es not penon the curreninto whithey are heefor comparison. Hence, the ranking of bon es not penon the base currenof the portfolio. A is incorrebecause Winslow’s Statement IV is correct. Inter-market tras shoulassesseon the basis of returns heeinto a common currency. ing so ensures ththey are comparable. Neither loccurrenreturns nor unheereturns are comparable across markets because they involve fferent currenexposures/risks. B is incorrebecause Winslow’s Statement V is correct. The primary iver of inter-market tras is anticipatechanges in yielfferentials. Over horizons most relevant for active bonmanagement, the capitgains/losses arising from yielmovements generally minate the income component of return (i.e., carry) anrolling wn the curve. Hence, expectations with respeto yielmovements are the primary iver of inter-market tra cisions. INTER-MARKET的驱动因素应该是利差保持不变吧?

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