CFA特許金融分析師-CFA三級(jí)-新手入門(mén)-DerivativesandCurrencyManagement

CFA特許金融分析師-CFA三級(jí)-新手入門(mén)-DerivativesandCurrencyManagement共享題干題KalilaAl-Khalilihasbeenhiredasaconsul（江南博哥）tanttoaMiddleEasternsovereignwealthfund.Thefund’soversightcommitteehasaskedhertoexaminethefund’sfinancialcharacteristicsandrecommendanappropriatecurrencymanagementstrategygiventhefund’sInvestmentPolicyStatement.Afterathoroughstudyofthefundanditsfinances,Al-Khalilireachesthefollowingconclusions:Thefund’smandateisfocusedonthelong-termdevelopmentofthecountry,andtheroyalfamily(whoareveryinfluentialonthefund’soversightcommittee)arepreparedtotakealong-termperspectiveonthefund’sinvestments.Thefund’sstrategicassetallocationistiltedtowardsequityratherthanfixed-incomeassets.Thefund’sstrategicassetallocationistiltedtowardsequityratherthanfixed-incomeassets.Bothitsfixed-incomeandequityportfolioshaveasizeableexposuretoemergingmarketassets.Currently,about90%ofexchangerateexposuresarehedgedalthoughtheIPSallowsarangeofhedgeratios.Liquidityneedsofthefundareminimal,sincethegovernmentisrunningabalancedbudgetandisunlikelytoneedtodipintothefundintheneartermtocoverfiscaldeficits.Indeed,theexpectedlifetimeofcountry’slargeoilreserveshasbeengreatlyextendedbyrecentdiscoveries,andsubstantialoilroyaltiesareexpectedtopersistintothefuture.[單選題]1.Basedonherinvestigation,Al-Khaliliwouldmostlikelyrecommend:A.activecurrencymanagement.B.ahedgingratiocloserto100%.C.anarrowdiscretionarybandforcurrencyexposures.正確答案：A參考解析：Thefundhasalong-termperspective,fewimmediateliquidityneeds,andalowerweightinfixedincomethatinequities(bondportfoliosaretypicallyassociatedwithhedgeratioscloserto100%thanequityportfolios).Theemergingmarketexposurewouldalsosupportactivemanagement,giventhesecountries’typicallyhigheryields(carrytrade)andoftenvolatileexchangerates.Bisincorrectbecausethecharacteristicsofthefundandthebeneficialinvestor(inthiscase,theroyalfamily)donotargueforaconservativecurrencystrategy.Cisincorrectbecauseamoreactivecurrencymanagementstrategywouldbemoresuitableforthisfund.AlineNunes,ajunioranalyst,worksinthederivativesresearchdivisionofaninternationalsecuritiesfirm.Nunes’ssupervisor,CátiaPereira,askshertoconductananalysisofvariousoptiontradingstrategiesrelatingtosharesofthreecompanies:IZD,QWY,andXDF.On1February,Nunesgathersselectedoptionpremiumdataonthecompanies,presentedinExhibit1.NunesconsidersthefollowingoptionstrategiesrelatingtoIZD:Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]2.Strategy1wouldrequireNunestobuy:A.sharesofIZD.B.aputoptiononIZD.C.acalloptiononIZD.正確答案：C參考解析：Toconstructasyntheticlongputposition,NuneswouldbuyacalloptiononIZD.Ofcourse,shewouldalsoneedtosell(short)IZDsharestocompletethesyntheticlongputposition.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]3.BasedonExhibit1,NunesshouldexpectStrategy2tobeleastprofitableifthesharepriceofIZDatoptionexpirationis:A.lessthan€91.26.B.between€91.26and€95.00.C.morethan€95.00.正確答案：A參考解析：Strategy2isacoveredcall,whichisacombinationofalongpositioninsharesandashortcalloption.ThebreakevenpointofStrategy2is€91.26,whichrepresentsthepricepershareof€93.93minusthecallpremiumreceivedof€2.67pershare(S0

–c0).So,atanysharepricelessthan€91.26atoptionexpiration,Strategy2incursaloss.IfthesharepriceofIZDatoptionexpirationisgreaterthan€91.26,Strategy2generatesagain.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]4.BasedonExhibit1,thebreakevensharepriceofStrategy3isclosestto:A.€92.25.B.€95.61.C.€95.82.正確答案：A參考解析：Strategy3isacoveredcallstrategy,whichisacombinationofalongpositioninsharesandashortcalloption.Thebreakevensharepriceforacoveredcallisthesharepriceminusthecallpremiumreceived,orS0

–c0.ThecurrentsharepriceofIZDis€93.93,andtheIZDApril€97.50callpremiumis€1.68.Thus,thebreakevenunderlyingsharepriceforStrategy3isS0

–c0

=€93.93–€1.68=€92.25.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]5.BasedonExhibit1,themaximumlosspersharethatwouldbeincurredbyimplementingStrategy4is:A.€2.99.B.€3.99.C.unlimited.正確答案：B參考解析：Strategy4isaprotectiveputposition,whichisacombinationofalongpositioninsharesandalongputoption.Bypurchasingthe€25.00strikeputoption,Nu?eswouldbeprotectedfromlossesatQWYsharepricesof€25.00orlower.Thus,themaximumlosspersharefromStrategy4wouldbethelossofsharevaluefrom€28.49to€25.00(or€3.49)plustheputpremiumpaidfortheputoptionof€0.50:S0

–X+p0

=€28.49–€25.00+€0.50=€3.99.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]6.Strategy5isbestdescribedasa:A.collar.B.straddle.C.bearspread.正確答案：A參考解析：Strategy5describesacollar,whichisacombinationofalongpositioninshares,alongputoptionwithanexercisepricebelowthecurrentstockprice,andashortcalloptionwithanexercisepriceabovethecurrentstockprice.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]7.BasedonExhibit1,Strategy5offers:A.unlimitedupside.B.amaximumprofitof€2.48pershare.C.protectionagainstlossesifQWY’ssharepricefallsbelow€28.14.正確答案：B參考解析：Strategy5describesacollar,whichisacombinationofalongpositioninshares,alongputoption,andashortcalloption.Strategy5wouldrequireNu?estobuy100QWYsharesatthecurrentmarketpriceof€28.49pershare.Inaddition,shewouldpurchaseaQWYApril€24.00strikeputoptioncontractfor€0.35pershareandcollect€0.32persharefromwritingaQWYApril€31.00strikecalloption.Thecollaroffersprotectionagainstlossesonthesharesbelowtheputstrikepriceof€24.00pershare,butitalsolimitsupsidetothecallstrikepriceof€31.00pershare.Thus,themaximumgainonthetrade,whichoccursatpricesof€31.00pershareorhigher,iscalculatedas(X2

–S0)–p0

+c0,or(€31.00–€28.49)–€0.35+€0.32=€2.48pershare.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]8.BasedonExhibit1,thebreakevensharepriceforStrategy6isclosestto:A.€22.50.B.€28.50.C.€33.50.正確答案：B參考解析：Strategy6isabearspread,whichisacombinationofalongputoptionandashortputoptiononthesameunderlying,wherethelongputhasahigherstrikepricethantheshortput.InthecaseofStrategy6,theApril€31.00putoptionwouldbepurchasedandtheApril€25.00putoptionwouldbesold.Thelongputpremiumis€3.00andtheshortputpremiumis€0.50,foranetcostof€2.50.Thebreakevensharepriceis€28.50,calculatedasXH

–(pH

–pL)=€31.00–(€3.00–€0.50)=€28.50.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]9.BasedonExhibit1,themaximumgainpersharethatcouldbeearnedifStrategy7isimplementedis:A.€5.74.B.€5.76.C.unlimited.正確答案：B參考解析：Strategy7describesashortstraddle,whichisacombinationofashortputoptionandashortcalloption,bothwiththesamestrikeprice.Themaximumgainis€5.76pershare,whichrepresentsthesumofthetwooptionpremiums,orc0

+p0

=€2.54+€3.22=€5.76.Themaximumgainpershareisrealizedifbothoptionsexpireworthless,whichwouldhappenifthesharepriceofXDFatexpirationis€75.00.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]10.BasedonExhibit1,thebestexplanationforNunestoimplementStrategy8wouldbethat,betweentheFebruaryandDecemberexpirationdates,sheexpectsthesharepriceofXDFto:A.decrease.B.remainunchanged.C.increase.正確答案：C參考解析：NuneswouldimplementStrategy8,whichisalongcalendarspread,ifsheexpectstheXDFsharepricetoincreasebetweentheFebruaryandDecemberexpirationdates.ThisstrategyprovidesabenefitfromtheFebruaryshortcallpremiumtopartiallyoffsetthecostoftheDecemberlongcalloption.NuneslikelyexpectstheXDFsharepricetoremainrelativelyflatbetweenthecurrentprice€74.98and€80untiltheFebruarycalloptionexpires,afterwhichtimesheexpectsthesharepricetoincreaseabove€80.Ifsuchexpectationscometofruition,theFebruarycallwouldexpireworthlessandNuneswouldrealizegainsontheDecembercalloption.Strategy1:ConstructingasyntheticlongputpositioninIZDStrategy2:Buying100sharesofIZDandwritingtheApril€95.00strikecalloptiononIZDStrategy3:ImplementingacoveredcallpositioninIZDusingtheApril€97.50strikeoptionNunesnextreviewsthefollowingoptionstrategiesrelatingtoQWY:Strategy4:ImplementingaprotectiveputpositioninQWYusingtheApril€25.00strikeoptionStrategy5:Buying100sharesofQWY,buyingtheApril€24.00strikeputoption,andwritingtheApril€31.00strikecalloptionStrategy6:ImplementingabearspreadinQWYusingtheApril€25.00andApril€31.00strikeoptionsFinally,NunesconsiderstwooptionstrategiesrelatingtoXDF:Strategy7:WritingboththeApril€75.00strikecalloptionandtheApril€75.00strikeputoptiononXDFStrategy8:WritingtheFebruary€80.00strikecalloptionandbuyingtheDecember€80.00strikecalloptiononXDF[單選題]11.Overthepastfewmonths,NunesandPereirahavefollowednewsreportsonaproposedmergerbetweenXDFandoneofitscompetitors.Agovernmentantitrustcommitteeiscurrentlyreviewingthepotentialmerger.Pereiraexpectsthesharepricetomovesharplyupwardordownwarddependingonwhetherthecommitteedecidestoapproveorrejectthemergernextweek.PereiraasksNunestorecommendanoptiontradethatmightallowthefirmtobenefitfromasignificantmoveintheXDFsharepriceregardlessofthedirectionofthemove.TheoptiontradethatNunesshouldrecommendrelatingtothegovernmentcommittee’sdecisionisa:A.collar.B.bullspread.C.longstraddle.正確答案：C參考解析：Nunesshouldrecommendalongstraddle,whichisacombinationofalongcalloptionandalongputoption,bothwiththesamestrikeprice.Thecommittee’sannouncementisexpectedtocauseasignificantmoveinXDF’sshareprice.Alongstraddleisappropriatebecausethesharepriceisexpectedtomovesharplyupordowndependingonthecommittee’sdecision.Ifthemergerisapproved,thesharepricewilllikelyincrease,leadingtoagaininthelongcalloption.Ifthemergerisrejected,thenthesharepricewilllikelydecrease,leadingtoagaininthelongputoption.LiJiangisaninternationaleconomistoperatingasubscriptionwebsitethroughwhichsheoffersfinancialadviceoncurrencyissuestoretailinvestors.Onemorningshereceivesfoursubscribere-mailsseekingguidance.Subscriber1:“AsaFrenchnationalnowworkingintheUnitedStates,IholdUSdollar-denominatedassetscurrentlyvaluedatUSD700,000.TheUSD/EURexchangeratehasbeenquitevolatileandnowappearsoversoldbasedonhistoricalpricetrends.WithmyAmericanjobendingsoon,IwillreturntoEurope.IwanttoprotectthevalueofmyUSDholdings,measuredinEURterms,beforeIrepatriatethesefundsbacktoFrance.ToreducemycurrencyexposureIamgoingtousecurrencyfuturescontracts.Canyouexplainthefactorsmostrelevanttoimplementingthisstrategy?”Subscriber2:“IhaveobservedthatmanyoftheoverseasmarketsforKoreanexportgoodsareslowing,whiletheUnitedStatesisexperiencingariseinexports.Bothtrendscancombinetopossiblyaffectthevalueofthewon(KRW)relativetotheUSdollar.Asaresult,IamconsideringaspeculativecurrencytradeontheKRW/USDexchangerate.Ialsoexpectthevolatilityinthisexchangeratetoincrease.”Subscriber3:“IndiahasrelativelyhighinterestratescomparedtotheUnitedStatesandmymarketviewisthatthissituationislikelytopersist.Asaretailinvestoractivelytradingcurrencies,IamconsideringborrowinginUSDandconvertingtotheIndianrupee(INR).IthenintendtoinvestthesefundsinINR-denominatedbonds,butwithoutusingacurrencyhedge.”Subscriber4:“IwaswonderingiftradinginemergingmarketcurrenciesprovidesthemoreopportunitiesforsuperiorreturnsthroughactivemanagementthantradinginDevelopedMarketcurrencies.”[單選題]12.ForSubscriber1,themostsignificantfactortoconsiderwouldbe:A.marginrequirements.B.transactioncostsofusingfuturescontracts.C.differentquotingconventionsforfuturecontracts.正確答案：A參考解析：Exchange-tradedfuturescontractnotonlyhaveinitialmarginrequirements,theyalsohavedailymark-to-marketand,asaresult,canbesubjecttodailymargincalls.Marketparticipantsmusthavesufficientliquiditytomeetmargincalls,orhavetheirpositionsinvoluntarilyliquidatedbytheirbrokers.Notethattheriskofdailymargincallsisnotafeatureofmostforwardscontracts;norisinitialmargin.(However,thisischangingamongthelargestinstitutionalplayersinFXmarketsasmanyforwardcontractsnowcomewithwhatareknownasCollateralSupportAnnexes—CSAs—inwhichmargincanbeposted.Postingadditionalmarginwouldtypicallynotbeadailyevent,however,exceptinthecaseofextrememarketmoves.)Bisincorrectbecausefuturescontractshavelowtransactionscosts.CisincorrectbecausewhethertheEURisthepriceorthebasecurrencyinthequotewillnotaffectthehedgingprocess.Infact,ontheCMEthequotewouldbethemarket-standardUSD/EURquote,withtheEURasthebasecurrency.[單選題]13.ForSubscriber2,andassumingallofthechoicesrelatetotheKRW/USDexchangerate,thebestwaytoimplementthetradingstrategywouldbeto:A.writeastraddle.B.buyaputoption.C.usealongNDFposition.正確答案：C參考解析：Basedonpredictedexporttrends,Subscriber2mostlikelyexpectstheKRW/USDratetoincrease(i.e.,thewon—thepricecurrency—todepreciaterelativetotheUSD).Thiswouldrequirealongforwardpositioninaforwardcontract,butasacountrywithcapitalcontrols,aNDFwouldbeusedinstead.(Note:Whileforwardcontractsofferedbybanksaregenerallyaninstitutionalproduct,notretail,theretailversionofanon-deliverableforwardcontractisknownasa“contractfordifferences”(CFD)andisavailableatseveralretailFXbrokers.)AisincorrectbecauseSubscriber2expectstheKRW/USDratetoincrease.Ashortstraddlepositionwouldbeusedwhenthedirectionofexchangeratemovementisunknownandvolatilityisexpectedtoremainlow.BisincorrectbecauseaputoptionwouldprofitfromadecreaseoftheKRW/USDrate,notanincrease(asexpected).Highervolatilitywouldalsomakebuyingaputoptionmoreexpensive.[單選題]14.WhichofthefollowingmarketdevelopmentswouldbemostfavorableforSubscriber3’stradingplan?A.Anarrowerinterestratedifferential.B.AhigherforwardpremiumforINR/USDC.HighervolatilityinINR/USDspotratemovements.正確答案：B參考解析：Subscriber3’scarrytradestrategyisequivalenttotradingtheforwardratebias,basedonthehistoricalevidencethattheforwardrateisnotthecenterofthedistributionforthespotrate.Applyingthisbiasinvolvesbuyingcurrenciessellingataforwarddiscountandsellingcurrenciestradingataforwardpremium.Soahigherforwardpremiumontheloweryieldingcurrency—theUSD,thebasecurrencyintheINR/USDquote—wouldeffectivelyreflectamoreprofitabletradingopportunity.Thatis,ahigherpremiumforbuyingorsellingtheUSDforwardisassociatedwithalowerUSinterestratecomparedtoIndia.ThiswouldmeanawiderinterestratedifferentialinfavorofIndianinstruments,andhencepotentiallymorecarrytradeprofits.AisincorrectbecauseSubscriber3’scarrytradestrategydependsonawideinterestratedifferentialbetweenthehigh-yieldcountry(India)andthelow-yieldcountry(theUnitedStates).Thedifferentialshouldbewideenoughtocompensatefortheunhedgedcurrencyriskexposure.Cisincorrectbecauseaguidetothecarrytrade’sriskinessisthevolatilityofspotratesontheinvolvedcurrencies,withrapidmovementsinexchangeratesoftenassociatedwithapanickedunwindingofcarrytrades.Allthingsbeingequal,highervolatilityisworseforcarrytrades.[單選題]15.Jiang’sbestresponsetoSubscriber4wouldbethatactivetradingintradinginemergingmarketcurrencies:A.typicallyleadstoreturndistributionsthatarepositivelyskewed.B.shouldnotleadtohigherreturnsbecauseFXmarketsareefficient.C.oftenleadstohigherreturnsthroughcarrytrades,butcomeswithhigherrisksandtradingcosts.正確答案：C參考解析：Emergingmarketcurrenciesareoftentheinvestmentcurrenciesinthecarrytrade.ThisreflectsthehigheryieldsoftenavailableintheirmoneymarketscomparedtoDevelopedMarketeconomies(fundingcurrenciesaretypicallylow-yieldcurrenciessuchastheJPY).Thiscanleadtohigherholdingreturns,butthesehigherreturnscanalsocomewithhigherrisks:carrytradesareoccasionallysubjecttopanickedunwindsinstressedmarketconditions.Whenthisoccurs,positionexitcanbemademoredifficultbymarketilliquidityandhighertradingcosts(widerbid/offerspreads).Theleverageinvolvedinthecarrytradecanmagnifytradinglossesunderthesecircumstances.Aisincorrectbecausereturndistributionsareoftennegativelyskewed,reflectingthehighereventrisk(panickedcarrytradeunwinds,currencypegsbeingre-set,etc.)associatedwiththecarrytrade.BisincorrectbecausealthoughFXmarketsaretypicallyefficient(orveryclosethereto)thisdoesnotmeanthathigherreturnsarenotavailable.Thekeyquestioniswhethertheseareabnormallyhighrisk-adjustedreturns.Higherreturninanefficientmarketcomeswithhigherrisk.Thehigher(short-term)returninthecarrytradereflectstheriskpremiaforholdingunhedgedcurrencyrisk,inthecontextofafavorableinterestratedifferential.StanleyKumarSingh,CFA,istheriskmanageratSKSAssetManagement.Heworkswithindividualclientstomanagetheirinvestmentportfolios.Oneclient,ShermanHopewell,isworriedabouthowshort-termmarketfluctuationsoverthenextthreemonthsmightimpacthisequitypositioninWalnutCorporation.AlthoughHopewellisconcernedaboutshort-termdownsidepricemovements,hewantstoremaininvestedinWalnutsharesbecauseheremainspositiveaboutitslong-termperformance.HopewellhasaskedSinghtorecommendanoptionstrategythatwillkeephiminvestedinWalnutshareswhileprotectingagainstashort-termpricedecline.SinghgatherstheinformationinExhibit2toexplorevariousstrategiestoaddressHopewell’sconcerns.Anotherclient,NigelFrench,isatraderwhodoesnotcurrentlyownsharesofWalnutCorporation.FrenchhastoldSinghth