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wanlankiki · 2021年08月07日

IV

  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.

麻烦老师解释下A选项谢谢

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1 个答案

pzqa015 · 2021年08月08日

嗨，努力学习的PZer你好：


麻烦解释一下A选项。

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同学你好

回忆一下，我们做inter market trade的第一步，是不是要把所有不同币种标价的债券全部统一为统一币种（任何币种都行），统一币种的过程中，我们用到的是covered interest rate parity-F/S=(1+ra)/(1+rb)这个公式所体现出的Rfx=(F-S)/S≈ra-rb，并根据RDC=(1+RFX)(1+RFC)-1这个公式来计算所有债券统一成DC币种后的收益率，这里的RFC是债券本来标价的币种，RFX就代表currency hedge return。统一币种后，再选择一个统一币种后收益最高的债券去投资。

这就是A选项这句话表达的意思。inter market trade应该基于covered hedged return来assess。


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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？

2021-10-27 11:24 1 · 回答

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. 帮忙下V的描述可以吗谢谢！

2021-04-11 15:14 1 · 回答

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.C 为什么汇率变动不影响return的排序，hee return=Rlc+Rfx 外币的升贬值会影响hee return呀

2021-01-27 22:53 2 · 回答

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.那还有个carry tra的类型是直接比较两国利率高低，借低的投高的，为什么就不用转换成common currency再比较了呢？

2020-11-29 23:46 1 · 回答