为啥选项B不对？

问题如下：

Susan Winslow manages bond funds denominated in US Dollars, Euros, and British Pounds. Each fund invests in sovereign bonds and related derivatives. Each fund can invest a portion of its assets outside its base currency market with or without hedging the currency exposure, but to date Winslow has not utilized this capacity. She believes she can also hedge bonds into currencies other than a portfolio’s base currency when she expects doing so will add value. However, the legal department has not yet confirmed this interpretation. If the lawyers disagree, Winslow will be limited to either unhedged positions or hedging into each portfolio’s base currency.

Given the historically low rates available in the US, Euro, and UK markets, Winslow has decided to look for inter-market opportunities. With that in mind, she gathered observations about such trades from various sources. Winslow’s notes with respect to carry trades include these statements:

I. Carry trades may or may not involve a maturity mismatch.

II. Carry trades require two yield curves with substantially different slopes.

III. Inter-market carry trades just break even if both yield curves move to the forward rates.

Which of Winslow’s statements about carry trades is correct?

选项：

Statement I

Statement II

Statement III

解释：

A is correct.

Carry trades may or may not involve maturity mis-matches. Intra-market carry trades typically do involve different maturities, but inter-market carry trades frequently do not, especially if the currency is not hedged.

B is incorrect. Carry trades may involve only one yield curve, as is the case for intra-market trades. In addition, if two curves are involved they need not have different slopes provided there is a difference in the level of yields between markets.

C is incorrect. Inter-market carry trades do not, in general, break even if each yield curve goes to its forward rates. Intra-market trades will break even if the curve goes to the forward rates because, by construction of the forward rates, all points on the curve will earn the “first-period” rate (that is, the rate for the holding period being considered). Inter-market trades need not break even unless the “first-period” rate is the same in the two markets. If the currency exposure is not hedged, then breaking even also requires that there be no change in the currency exchange rate.