标题: Reading 34: Alternative Investm....olio Management－LOS n [打印本页]
作者: tycoon 时间: 2008-9-16 12:22 标题: [2008] Session 11－Reading 34: Alternative Investm....olio Management－LOS n
CFA Institute Area 8-11, 13: Asset Valuation
Session 11: Alternative Investments for Portfolio Management
Reading 34: Alternative Investments Portfolio Management
LOS n: Explain the three components of return for a commodity futures contract and the effect that an upward- or downward-sloping term structure of futures prices will have on roll yield.
作者: tycoon 时间: 2008-9-16 14:18
Jill Beaman, CFA, has recorded the components of the return on a commodity futures contract. The return on the futures contract is $17, the spot return is $9, and the roll return is $5. What is the collateral return?
Answer and Explanation
Total return = spot return + collateral return + roll return.
Collateral return = total return - spot return - roll return.
$3 = $17 - $9 - $5
作者: tycoon 时间: 2008-9-16 14:18
With respect to a commodity futures contract, the collateral return:
| A) | is the opportunity cost of storing the commodity. |
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| B) | is highly correlated with the spot rate. |
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C) | represents the return on a fully hedged commodity position which should be approximately the risk-free rate. |
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| D) | represents the return on a fully hedged commodity position which should be approximately zero. |
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Answer and Explanation
The collateral return or collateral yield is the result of the no-arbitrage assumption that if an investor is long a contract and invests an amount in T-bills that will be equal to the amount required to pay for the required purchase at the maturity of the futures contract. Such a fully-hedge position should earn the risk-free rate.
作者: tycoon 时间: 2008-9-16 14:19
Jill Beaman, CFA, notices that for wheat futures there is a downward-sloping term structure of futures prices. Beaman should recognize that this would be associated with:
| A) | normal backwardation and a negative roll return. |
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| B) | contango and a positive roll return. |
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| C) | contango and a negative roll return. |
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D) | normal backwardation and a positive roll return. |
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Answer and Explanation
Normal backwardation, when it exists, produces a downward-sloping term structure of futures prices. Such a condition predicts a positive roll return. If the term structure is positive, which is a result of contango, the roll return would be negative.
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