如下

问题如下：

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

选项：

Statement IV

Statement V

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.

1、B选项，carry trade 应该是预期yield curve stable 时候的策略吧，如果是预测有变化，还能做么？

2、C选项，是因为做的时候用hedge后的forward rate 所以与货币无关么？