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标题: Hedged return quiz [打印本页]

作者: jbaldyga 时间: 2011-7-11 19:17 标题: Hedged return quiz

You are provided with the following information:

Projected bond market returns:
US 9%
UK 10%

Projected Currency returns:
Dollar n/a
Euro 4%
Sterling 6%
Yen 6%

One year interest rates:
US 3%
France 4%
Japan 1%
UK 5%

What is the expected return of a US investor investing in the UK market that has hedged the Pound with the US dollar?

Possible answers:

A: 6%
B: 8%
C: 10%
D: 12%

作者: aidebaobao 时间: 2011-7-11 19:17

b, hedged return is us int rate + bonds excess return ...3% + (10-5) = 8

作者: Analyze_This 时间: 2011-7-11 19:17

B for the win

作者: jmh530 时间: 2011-7-11 19:17

B.

BTW, US bond market is more attractive (9%).

Edited 1 time(s). Last edit at Thursday, May 12, 2011 at 08:39AM by deriv108.

作者: lcw77 时间: 2011-7-11 19:17

B

NO EXCUSES

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