NO.PZ201902210100000103
问题如下：
Among the carry trades available in the US, Euro, and UK markets, the highest expected return for the USD-denominated portfolio over the next 6 months is closest to:
选项：
A. 0.275%.
B. 0.85%.
C. 0.90%.
解释：
B is correct.
The highest potential return, 0.85%, reflects borrowing USD for 6 months and buying the UK 5-year bond. The carry component of the expected return is actually a loss of 0.15% [= (1.10% – 1.40%)/2], but this is more than offset by the 1% expected appreciation of GBP versus USD. A much higher carry component +0.90% = (1.95% – 0.15%)/2 could be obtained by borrowing for 6 months in EUR to buy the US 5-year note, but that advantage would be more than offset by the expected 1% loss from depreciation of the USD (long) against the Euro (short).
A is incorrect because a higher expected return of 0.85% can be obtained. This answer, +0.275% [= (1.95% – 1.40%)/2], is the highest carry available over the next 6 months within the US market itself (an intra-market carry trade).
C is incorrect. This answer (+0.90%) is the highest potential carry component of return but ignores the impact of currency exposure (being long the depreciating USD and short the appreciating Euro).
我整理一下思路，老师看看对不对哈？这道题由于题目限定了no more than one market所以我们确定为inter- market carry trade，涉及US，UK，EUR三个币种中我们分别尝试出借6个月投5年的最大利差，再结合汇率变动算出总收益选择最高的！