NO.PZ2018111501000021
问题如下:
Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.
Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:
选项:
A.
under-hedge AUD and over-hedge CHF.
B.
over-hedge AUD and not hedge CHF.
C.
under-hedge CHF and not hedge AUD.
解释:
B is correct.
考点:Tools of Currency Management: Forward
解析:用forward contracts对冲外汇风险,对冲的是卖AUD和CHF的外汇风险,所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率(即不用合约锁定的汇率),2.1523>2.0355,所以应当hedge AUD,锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF, 2.4641<2.5642, 所以不hedge时,卖CHF的价格更高。
比如我们害怕 AUD 和 CHF 跌,所以short forward,但是对于AUD,F>S 所以是contango,对于short forward 有一个positive roll yield,所以鼓励hedge,相反对于CHF,backwardation,所以negative roll yield,不鼓励hedge,