开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Richard ZHANG · 2023年01月12日

请问老师这个题能用roll yiled 来考虑吗

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AUDCHF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/CHF2.4641<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,

2 个答案

pzqa31 · 2023年05月16日

嗨,努力学习的PZer你好:


同学,是这样的,roll yield这个东西其实是在我们签订forward合约的时候就确定的,roll yield=(F-S)/S。forwarde rate又叫implied forward rate,是隐含在期初spot rate里的,所以其实forward rate是期初就确定的,变化的是市场对于未来即期利率的预期。因此,在确定hedge不hedge这个问题的时候,其实是要比较forward rate(锁定的汇率)和forecast spot rate(市场预期未来的即期利率)的大小,看一下是hedge更有利还是不hedge更有利。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Hertz_品职助教 · 2023年01月12日

嗨,爱思考的PZer你好:


同学你好

不能,虽然在本题中仅使用roll yield判断的结果是没有问题的,但是这种思路是不对的,换一个数字不一定得到正确结论。

Roll yield可以理解为签订远期合约可以给我们带来的好处,roll yield大于0,说明签合约有利;小于0说明签合约不利。

如果我们对将来的市场没有判断,那么签合约有利,即roll yield的时候应该对冲;但是如果我们对将来有判断,就像是本题,就要比较一下签合约带给我们的好处和不签合约情况下的收益做一下对比了。

 

比如AUD头寸,计算roll yield大于0,同时判断如果不对冲会有损失,综合判断我们会选择对冲AUD头寸;

但是如果数据稍微一变化,假设预测六个月的即期汇率是2.1600(注意这个数据是大于2.1523的),此时roll yield不变,仍然是大于0的。但是我们发现如果不对冲将来可以按照更高的汇率2.1600来卖AUD,此时虽然roll yield大于0,仍然不能对冲。

 

同理,即便计算出来roll yield是小于0的,但是如果不对冲发现发生的损失会更多的话,即便roll yield小于0,仍然要选择对冲。

 

综上,当我们对未来的市场有判断的时候,就需要比较对冲和不对冲的情况下哪种更有利,最终决定是否对冲,而不能仅仅依靠roll yield来判断。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

005 · 2023年05月16日

请问针对CHF 如果six-month forecast spot rate小于远期中的2.4641,在这种roll yield 为负的情况下,是否仍要考虑使用forward对冲?

  • 2

    回答
  • 2

    关注
  • 521

    浏览
相关问题

NO.PZ2018111501000021问题如下Fun Brasil (Fis a Brazilisovereign wealth fun FB hlong equity positionsin AustralianSwiss equities. Spot anforwarmarket curreninformationfor AUanCHF is proviin Exhibit 1. FB managers have askeCampos foraion whether it woulappropriate to hee the currenexposure withforwarcontracts in AUanCHF. Campos incates she will examine the use offorwarcontracts to hee currenexposure.Baseon theinformation proviin Exhibit 1, the most appropriate risk neutrstrategyis for FB to: A.unr-hee AUanover-heeCHF.B.over-hee AUannot heeCHF.C.unr-hee CHF annot heeAUB iscorrect.考点Tools ofCurrenManagement: Forwar析用forwarontracts对冲外汇风险,对冲的是卖AUCHF的外汇风险,所以将来是short AUforwar short CHF forwar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hee AU锁定更高的卖AU价格。并且over-hee可以带来更高的收益。对于BRL/CHF, 2.4641 2.5642, 所以不hee时,卖CHF的价格更高。 两个名词区别是啥。。。

2024-06-02 19:56 1 · 回答

NO.PZ2018111501000021问题如下Fun Brasil (Fis a Brazilisovereign wealth fun FB hlong equity positionsin AustralianSwiss equities. Spot anforwarmarket curreninformationfor AUanCHF is proviin Exhibit 1. FB managers have askeCampos foraion whether it woulappropriate to hee the currenexposure withforwarcontracts in AUanCHF. Campos incates she will examine the use offorwarcontracts to hee currenexposure.Baseon theinformation proviin Exhibit 1, the most appropriate risk neutrstrategyis for FB to: A.unr-hee AUanover-heeCHF.B.over-hee AUannot heeCHF.C.unr-hee CHF annot heeAUB iscorrect.考点Tools ofCurrenManagement: Forwar析用forwarontracts对冲外汇风险,对冲的是卖AUCHF的外汇风险,所以将来是short AUforwar short CHF forwar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hee AU锁定更高的卖AU价格。并且over-hee可以带来更高的收益。对于BRL/CHF, 2.4641 2.5642, 所以不hee时,卖CHF的价格更高。 为什么neutral了?

2023-07-28 23:27 1 · 回答

NO.PZ2018111501000021 问题如下 Fun Brasil (Fis a Brazilisovereign wealth fun FB hlong equity positionsin AustralianSwiss equities. Spot anforwarmarket curreninformationfor AUanCHF is proviin Exhibit 1. FB managers have askeCampos foraion whether it woulappropriate to hee the currenexposure withforwarcontracts in AUanCHF. Campos incates she will examine the use offorwarcontracts to hee currenexposure.Baseon theinformation proviin Exhibit 1, the most appropriate risk neutrstrategyis for FB to: A.unr-hee AUanover-heeCHF. B.over-hee AUannot heeCHF. C.unr-hee CHF annot heeAU B iscorrect.考点Tools ofCurrenManagement: Forwar析用forwarontracts对冲外汇风险,对冲的是卖AUCHF的外汇风险,所以将来是short AUforwar short CHF forwar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hee AU锁定更高的卖AU价格。并且over-hee可以带来更高的收益。对于BRL/CHF, 2.4641 2.5642, 所以不hee时,卖CHF的价格更高。 如果我把改成: over-hee AUanunr hee CHF对吗?讲义都只有讲到hee anunhee, 有unrhee吗unrhee是风险更大但收益更多吗?

2023-03-07 16:52 2 · 回答

NO.PZ2018111501000021 问题如下 Fun Brasil (Fis a Brazilisovereign wealth fun FB hlong equity positionsin AustralianSwiss equities. Spot anforwarmarket curreninformationfor AUanCHF is proviin Exhibit 1. FB managers have askeCampos foraion whether it woulappropriate to hee the currenexposure withforwarcontracts in AUanCHF. Campos incates she will examine the use offorwarcontracts to hee currenexposure.Baseon theinformation proviin Exhibit 1, the most appropriate risk neutrstrategyis for FB to: A.unr-hee AUanover-heeCHF. B.over-hee AUannot heeCHF. C.unr-hee CHF annot heeAU B iscorrect.考点Tools ofCurrenManagement: Forwar析用forwarontracts对冲外汇风险,对冲的是卖AUCHF的外汇风险,所以将来是short AUforwar short CHF forwar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hee AU锁定更高的卖AU价格。并且over-hee可以带来更高的收益。对于BRL/CHF, 2.4641 2.5642, 所以不hee时,卖CHF的价格更高。 老师,这里有个逻辑点和上课的知识点自己理解上有断层的感觉,请帮忙确认下在确认要hee的情况下,short forwaron 外币,而外币的rolling yiel正,所以我们就要over hee外币。这里over hee的原因是什么呢?是否可以本币US外币AU举个例子说明?

2023-02-11 10:24 1 · 回答

NO.PZ2018111501000021 问题如下 Fun Brasil (Fis a Brazilisovereign wealth fun FB hlong equity positionsin AustralianSwiss equities. Spot anforwarmarket curreninformationfor AUanCHF is proviin Exhibit 1. FB managers have askeCampos foraion whether it woulappropriate to hee the currenexposure withforwarcontracts in AUanCHF. Campos incates she will examine the use offorwarcontracts to hee currenexposure.Baseon theinformation proviin Exhibit 1, the most appropriate risk neutrstrategyis for FB to: A.unr-hee AUanover-heeCHF. B.over-hee AUannot heeCHF. C.unr-hee CHF annot heeAU B iscorrect.考点Tools ofCurrenManagement: Forwar析用forwarontracts对冲外汇风险,对冲的是卖AUCHF的外汇风险,所以将来是short AUforwar short CHF forwar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hee AU锁定更高的卖AU价格。并且over-hee可以带来更高的收益。对于BRL/CHF, 2.4641 2.5642, 所以不hee时,卖CHF的价格更高。 题目作对,想深入理解概念(对比)

2023-01-12 07:05 1 · 回答