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陈Shelly · 2022年05月12日

长期达到均衡水平的话，不可能通过active的管理来获得超额回报，那不就该完全hedge掉，类似passive的管理吗

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000203

问题如下：

3. Based on Ostermann‘s views regarding active currency management, the percentage of currency exposure in her discretionary accounts that is hedged is most likely:

选项：

A.

0%.

B.

50%.

C.

100%.

解释：

A is correct.

Guten believes that, due to efficient currency markets, there should not be any long-run gains for speculating (or active management) in currencies, especially after netting out management and transaction costs. Therefore, both currency hedging and actively trading currencies represent a cost to the portfolio with little prospect of consistently positive active returns. Given a long investment horizon and few immediate liquidity needs, Guten is most likely to choose to forgo currency hedging and its associated costs.

B and C are incorrect because given a long investment horizon and little immediate liquidity needs, Guten is most likely to choose to forgo currency hedging and its associated costs. Guten believes that due to efficient currency markets there should not be any long-run gains when speculating in currencies, especially after netting out management and transaction costs.

中文解析：

根据题干信息可知，奥斯特曼认为，外汇市场是有效的，长期的积极的货币管理不可能带来收益的，尤其是在扣除了管理和交易成本之后。

因此在这种情况下，不需要采取任何策略，hedge 比例为0%

长期达到均衡水平的话，不可能通过active的管理来获得超额回报，那不就该完全hedge掉，类似passive的管理吗


这个问题我还是没想明白，老师能通过使用forward进行hedge的方法来帮我分析一下吗？

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已采纳答案

Lucky_品职助教 · 2022年05月15日

嗨，努力学习的PZer你好：


同学你的思路是对的，但对hedge的理解有点偏差，长期完全有效市场，通过主动管理无法获得超额回报，那么就应该采取passive的方式，也就是不行动，不对抗市场，如果选择了hedge，其实是在主动操作，是试图对抗市场，但现在我们明知市场无法改变，所以应该无为而治~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

陈Shelly · 2022年05月15日

我们说使用衍生品市场中有一种投资者是 套利投资者, 他们想利用衍生品去hedge掉现货市场的风险。那对于这类投资者来说，难道不是被动投资吗？

Lucky_品职助教 · 2022年05月15日

嗨，爱思考的PZer你好：


对冲现货风险的叫套期保值者，用衍生品赚钱的才叫套利者。

金融学上，对冲（hedge）指特意减低另一项投资的风险的投资，是一种主动的投资行为哦，金融中被动的投资主要是跟踪指数，沪深300里包含哪些股票我就买哪些，占多少比例我也设置多少，这种叫被动投资。

补充一下这套期保值者和套利者的区别~

【1】交易目的不同

期货市场是生产经营者规避生产经营风险的地方，也是投资者转移价格波动风险的地方，目的是为了锁定成本或者是锁定利润，以控制因为价格波动所产生的风险。投机不同，投机者参与交易是为了利用价格的波动赚取收益。

【2】操作方法不同

套期保值者的头寸以现货为依据，也就是说，期货的套期保值者购买或售出的期货合约的标的物是对应其在现货市场持有(愿意持有)的商品或资产，且尽量的保证数量相同、持有时间相同但方向相反。而这些投机者是不需要考虑的，投机者根据自己的资金、风险承受能力以及对市场的预判来参与交易。

【3】风险承受不同

套期保值者只需要承担基差变动带来的风险，而投机者因为是利用价格波动产生的差异来赚取收益，若是市场走势跟预期判断产生偏差，往往是要承担价格波动风险的，两者相对来讲，套期保值的风险偏小，投机风险大。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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2024-01-08 21:37 1 · 回答

NO.PZ201601050100000203 问题如下 3. Baseon Ostermann‘s views regarng active currenmanagement, the percentage of currenexposure in her scretionary accounts this heeis most likely: A.0%. B.50%. C.100%. A is correct.Guten believes that, e to efficient currenmarkets, there shoulnot any long-run gains for speculating (or active management) in currencies, especially after netting out management antransaction costs. Therefore, both currenheing anactively trang currencies represent a cost to the portfolio with little prospeof consistently positive active returns. Given a long investment horizon anfew immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts.B anC are incorrebecause given a long investment horizon anlittle immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. Guten believes the to efficient currenmarkets there shoulnot any long-run gains when speculating in currencies, especially after netting out management antransaction costs.中文解析根据题干信息可知，奥斯特曼认为，外汇市场是有效的，长期的积极的货币管理不可能带来收益的，尤其是在扣除了管理和交易成本之后。因此在这种情况下，不需要采取任何策略，hee 比例为0% 有点糊涂，外汇管理四大strategy的Passive，不是说100%对冲吗？为何这里是不对冲？？

2022-08-19 18:25 2 · 回答

NO.PZ201601050100000203 50%. 100%. A is correct. Guten believes that, e to efficient currenmarkets, there shoulnot any long-run gains for speculating (or active management) in currencies, especially after netting out management antransaction costs. Therefore, both currenheing anactively trang currencies represent a cost to the portfolio with little prospeof consistently positive active returns. Given a long investment horizon anfew immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. B anC are incorrebecause given a long investment horizon anlittle immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. Guten believes the to efficient currenmarkets there shoulnot any long-run gains when speculating in currencies, especially after netting out management antransaction costs.请问老师关于这道题因为觉得市场是有效的，考虑到对冲的成本之后不对冲，所以外汇敞口不应该是百分之百吗？

2021-10-31 14:11 1 · 回答

老师好，答案中的\"Given a long investment horizon anfew immeate liquity nee\",这个信息从哪里看出来的啊、？

2020-02-25 16:37 2 · 回答