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sherry_lee · 2021年04月11日

帮忙解释下V可以吗？

  1. CFA III
  2. Fixed Income

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.

帮忙解释下V的描述可以吗谢谢！

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1 个答案

发亮_品职助教 · 2021年04月12日

嗨，从没放弃的小努力你好：


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


这句实际上想表达的意思是：


在国际市场做投资时，我们需要在一堆国外债券里面选择最优的债券进行投资，但决定我们最终要投资哪个国家时，起到首要影响的因素（Primary driver）就是预期的利率变动（changes in yield spread）


我们投资债券，具体来分析，主要的收益有以下几个来源：


第一个是投资债券获得的利息（Coupon），以及Coupon reinvestment，他是持有债券的收益，我们也叫作Carry；

第二个收益来源是利率没改变时，持有债券、债券期限改变带来的Rolldown return；

第三个收益是来自利率改变时，债券价格变动带来的收益（Capital gain or loss）


其中，第三个收益，Capital gain这个收益是债券收益占大头的部分，剩余的收益例如Coupon，以及Rolldown return部分，相比就小的多了。


在国际市场上，我们投资海外债券，虽然我们也可以赚Coupon（carry)的收益，也可以赚Rolldown return的收益，但是这两部分收益的量级其实较小，远远比不上利率改变对债券价格影响带来的收益。所以我们才说，两国之间利率的相对变化，才是主导国际债券市场投资的Primary factor。


举个例子，A国预期利率会有下降，B国预期利率Stable，但B国有不错的Carry（Coupon）收益。相比之下，应该选择投资A国债券，因为可以买入Duration大的债券，利率下降带来的Capital gain会更大。这就是在投资国际市场时，利率的相对改变（changes in yield spread）起到了决定性的影响因素。


于是才有我们原版书给的下面的结论：


国际债券投资的最主要的决定因素是两国间利率的相对改变：

The primary driver of inter-market trades is anticipated changes in yield differentials


因为，利率改变对债券价格的影响（Capital gain or loss）远远大于（Dominate）利息Coupon（Carry）带来的收益，以及大于Rolldown return带来的收益。

the capital gains/losses arising from yield movements generally dominate the income component of return (i.e., carry) and rolling down the curve. 

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NO.PZ2019103001000060 麻烦老师下A谢谢

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2021-01-27 22:53 2 · 回答

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