NDF类套息交易的收益与风险  

The Return and Risk of NDF Carry Trade

作　　者：郑振龙[1] 冯柳 陈蓉[1] ZHENG Zhen-long;FENG Liu;CHEN Rong(School of Management,Ximen University,Xiamen 361005,China;Eastmoney Securities,Shanghai 200030,China)

机构地区：[1]厦门大学管理学院,福建厦门361005 [2]东方财富,上海200030

出　　处：《数理统计与管理》2022年第3期489-506,共18页Journal of Applied Statistics and Management

基　　金：国家自然科学基金面上项目(71871190);国家自然科学基金项目(72071168);国家自然科学重大项目(71790601)。

摘　　要：本文研究当抛补利率平价不成立时,通过无本金交割远期(NDF)构建的类套息交易的收益与风险特征。发现与原套息交易相比,这种类套息交易具有更高的夏普比率。考虑比索问题后,外汇偏度风险和外汇波动风险可以解释其超额收益。当抛补利率平价负向偏离增大,考虑比索问题后的套息交易偏度风险增大.说明当有较高货币贬值预期时考虑比索问题的类套息交易会承担更大的偏度风险。We study the return and risk of NDF carry trade when there is a deviation from CIP.Our study find that NDF carry trades has higher Sharp ratio compared to carry trade based on DF.After considering the peso issue,hedged NDF carry trade are influenced by voltility risk and skew risk.When the deviation from CIP is more negative,the risk exposure on skew risk rise,which means hedged NDF carry trades is exposed to more skew risk when investor expect a currency devaluation.

关 键 词：套息交易 无本金交割远期 抛补利率平价 

分 类 号：F830.9[经济管理—金融学] F831.5[理学—概率论与数理统计] F831.7[理学—数学] F832.6O212