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moon · 2022年08月02日

答案给了2两个选择discretion的理由

* 问题详情,请 查看题干

NO.PZ201601050100001401

问题如下:

Identify the most likely approach for Lee to optimally locate Wilson’s portfolio on the currency risk spectrum, consistent with the IPS. Justify your response with two reasons supporting the approach.


选项:

解释:


Passive hedging is not likely because the IPS allows the 3% band around the neutral position. In addition, passive hedging is a rules-based approach, which is contrary to Wilson’s preference.

Active currency management is not likely because the 3% band around the neutral position is too limited for that approach. In many cases, the difference between discretionary hedging and active currency management is more of emphasis than degree. The primary duty of the discretionary hedger is to protect the portfolio from currency risk. Active currency management is supposed to take currency risks and manage them for profit. Leaving actual portfolio exposures near zero for extended periods is typically not a viable option.

Currency overlay is not likely because the 3% band is too small to indicate active currency management in a currency overlay program. In addition, currency overlay programs are often conducted by external, FX-specialized sub-advisers to a portfolio, whereas Lee is a generalist managing a variety of portfolios across asset classes. Finally, currency overlay allows for taking directional views on future currency movements, and a lack of market conviction is noted here.

中文解析:

IPS允许有相比于中性头寸上下3%的波动幅度,因此不是被动管理的方法。

不是主动管理的方法,因为3%的波动区间对于这种方法来说太有限了。在许多情况下,可自由决定的对冲方法和主动管理的方法之间的区别更多的是重点而不是程度。

可自由决定的套期保值者的主要职责是保护投资组合免受货币风险的影响。

而主动管理应该是承担货币风险,并以盈利为目的进行管理,因此将实际投资组合的风险敞口长期保持在接近于零的水平,通常不是一个可行的选择。

不是currency overlay的方法,因为在货币覆盖程序中,3%的幅度太小,不足以表示积极的货币管理。此外,货币覆盖程序通常是由外部的、外汇专业的投资组合次级顾问进行的,而Lee是一个多面手,管理各种资产类别的各种投资组合。最后,currency overlay允许对未来货币走势采取方向性看法,这里指出缺乏市场信念。

答案给了2两个选择discretion的理由,理由1是啥意思,怎么理解? 理由2是说他允许一定偏离

1 个答案

Hertz_品职助教 · 2022年08月03日

嗨,爱思考的PZer你好:


同学你好

理由1表达的意思是Lee这个人对市场没有什么明确清晰想法,因此比较适合discretionary hedging(对应题干的最后一句)。因为如果他对市场有比较明确的看法的话,需要做的是将自己的看法在采取的策略中实施,那就是主动管理了。另外提到的组合保持平稳和中性,意思是和benchmark基本保持一致,不会有大偏离的意思,这也要和IPS的上下3%的偏离幅度相一致。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ201601050100001401 问题如下 Intify the most likely approafor Lee to optimally locate Wilson’s portfolio on the currenrisk spectrum, consistent with the IPS. Justify your response with two reasons supporting the approach. Passive heing is not likely because the IPS allows the 3% banarounthe neutrposition. In aition, passive heing is a rules-baseapproach, whiis contrary to Wilson’s preference.Active currenmanagement is not likely because the 3% banarounthe neutrposition is too limitefor thapproach. In many cases, the fferenbetween scretionary heing anactive currenmanagement is more of emphasis thgree. The primary ty of the scretionary heer is to protethe portfolio from currenrisk. Active currenmanagement is supposeto take currenrisks anmanage them for profit. Leaving actuportfolio exposures nezero for extenperio is typically not a viable option.Currenoverlis not likely because the 3% banis too small to incate active currenmanagement in a currenoverlprogram. In aition, currenoverlprograms are often concteexternal, FX-specializesub-aisers to a portfolio, whereLee is a generalist managing a variety of portfolios across asset classes. Finally, currenoverlallows for taking rectionviews on future currenmovements, ana laof market conviction is notehere.中文解析IPS允许有相比于中性头寸上下3%的波动幅度,因此不是被动管理的方法。不是主动管理的方法,因为3%的波动区间对于这种方法来说太有限了。在许多情况下,可自由决定的对冲方法和主动管理的方法之间的区别更多的是重点而不是程度。可自由决定的套期保值者的主要职责是保护投资组合免受货币风险的影响。而主动管理应该是承担货币风险,并以盈利为目的进行管理,因此将实际投资组合的风险敞口长期保持在接近于零的水平,通常不是一个可行的选择。不是currenoverlay的方法,因为在货币覆盖程序中,3%的幅度太小,不足以表示积极的货币管理。此外,货币覆盖程序通常是由外部的、外汇专业的投资组合次级顾问进行的,而Lee是一个多面手,管理各种资产类别的各种投资组合。最后,currenoverlay允许对未来货币走势采取方向性看法,这里指出缺乏市场信念。

2024-10-09 15:35 1 · 回答

NO.PZ201601050100001401 问题如下 Intify the most likely approafor Lee to optimally locate Wilson’s portfolio on the currenrisk spectrum, consistent with the IPS. Justify your response with two reasons supporting the approach. Passive heing is not likely because the IPS allows the 3% banarounthe neutrposition. In aition, passive heing is a rules-baseapproach, whiis contrary to Wilson’s preference.Active currenmanagement is not likely because the 3% banarounthe neutrposition is too limitefor thapproach. In many cases, the fferenbetween scretionary heing anactive currenmanagement is more of emphasis thgree. The primary ty of the scretionary heer is to protethe portfolio from currenrisk. Active currenmanagement is supposeto take currenrisks anmanage them for profit. Leaving actuportfolio exposures nezero for extenperio is typically not a viable option.Currenoverlis not likely because the 3% banis too small to incate active currenmanagement in a currenoverlprogram. In aition, currenoverlprograms are often concteexternal, FX-specializesub-aisers to a portfolio, whereLee is a generalist managing a variety of portfolios across asset classes. Finally, currenoverlallows for taking rectionviews on future currenmovements, ana laof market conviction is notehere.中文解析IPS允许有相比于中性头寸上下3%的波动幅度,因此不是被动管理的方法。不是主动管理的方法,因为3%的波动区间对于这种方法来说太有限了。在许多情况下,可自由决定的对冲方法和主动管理的方法之间的区别更多的是重点而不是程度。可自由决定的套期保值者的主要职责是保护投资组合免受货币风险的影响。而主动管理应该是承担货币风险,并以盈利为目的进行管理,因此将实际投资组合的风险敞口长期保持在接近于零的水平,通常不是一个可行的选择。不是currenoverlay的方法,因为在货币覆盖程序中,3%的幅度太小,不足以表示积极的货币管理。此外,货币覆盖程序通常是由外部的、外汇专业的投资组合次级顾问进行的,而Lee是一个多面手,管理各种资产类别的各种投资组合。最后,currenoverlay允许对未来货币走势采取方向性看法,这里指出缺乏市场信念。 Wilson requires almost 100% hee ratio in its IPS it prefers a neutrbenchmark over a rule-baseapproach, but it allows limitescretionary management on hee ratio between 97% to 103%, Lee shoulimplement scretionary strategy to hee Wilson's current exposure. However, because Lee's laof currenmarket conviction, he shouluse the currenoverlstrategy well. The currenoverlstrategy means ththe portfolio managers outsourmanaging currenexposures to a firm specializing in FX management.老师麻烦帮忙看一下答案这样写能得分吗?谢谢!

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