CFA level I 另类投资错点
2018-10-04 本文已影响0人
MrKingjyk
- Futures price ≈ Spot price (1 + r) + Storage costs − Convenience yield.
- Volatility is a relative value strategy that uses options to profit based on expectations that market volatility will rise or fall.
波动率是一种相对价值策略，它使用基于市场波动率将上升或下降的预期的期权获利。
Distressed/restructuring is an event-driven strategy that focuses primarily on fixed-income securities, although it may buy preferred stock and short common stock of a company.
不良/重组是一种由事件驱动的策略，主要关注固定收益证券，尽管它可能购买优先股和做空一家公司的普通股。
Quantitative directional is an equity strategy that uses technical analysis to identify over- and underpriced securities, buy the underpriced ones, and short the overpriced ones.
定量定向是一种利用技术分析来识别定价过高和过低的证券，购买定价过低的证券，卖空定价过高的证券的股票策略。 - The futures market is in backwardation when the convenience yield is higher than the cost of carry. The futures price then generally rolls up (moves up along the forward curve) to the spot price curve as the expiry date of the futures contract approaches, which results in a positive roll yield for the long positions.
期货市场在现货溢价时，便利收益高于储存成本。随着期货合约到期日的临近，期货价格通常会上升(沿着远期曲线上升)到现货价格曲线，这就导致多头头寸的滚转收益为正。 - The three main sources of return for a commodities futures contract are collateral yield, roll yield, and spot price return.
商品期货合同的三个主要收益来源是抵押品收益、滚动收益和现货价格收益。
