Rachel
2019-12-05 23:39老師，請(qǐng)問書本225頁第二十四題答案 Due to covered interest arbi-trage, 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.是什么意思？ . 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不太理解？ Over horizons most relevant for active bond management, the capital gains/losses arissing from yield movements generally dominate the income component of return (i.e., carry) and rolling down the curve怎么理解？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2019-12-06 10:52
該回答已被題主采納
同學(xué)你好，這三句話的意思大概是
covered說明有遠(yuǎn)期合約鎖定了匯率，所以不用關(guān)注不同貨幣匯率會(huì)變化的問題。
在做inter-market-trade時(shí)，涉及不同的貨幣，因此需要用一種貨幣來評(píng)估他們的收益率，由于外幣還有一個(gè)匯率敞口，所以他不能直接和本幣的回報(bào)率進(jìn)行比較，一定要全部轉(zhuǎn)換成一種貨幣角度的回報(bào)率才能比較，這句說的是對(duì)的。
inter-market-trade就是軋利差，所以我就是要關(guān)注兩國收益率曲線的預(yù)期變化，所以對(duì)收益率變動(dòng)的預(yù)期是交易的的主要驅(qū)動(dòng)因素。
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