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徐威廉 · 2023年02月12日

我只知道currency overlay不应该fully hedge

  1. CFA III
  2. Derivative

NO.PZ2022123002000010

问题如下：

Dias has asked whether it would be appropriate for him to hedge his foreign currency exposure. Campos raises the issue with Traldi and Peixaria. Traldi responds, "In the short run, if the correlation between foreign asset returns and foreign currency returns is negative, then there may be a need to hedge all foreign currency exposure. Alternatively, one could implement a currency overlay program in which the currency exposure is fully hedged and currency alpha is generated separately. This currency overlay strategy will only be successful in adding value to the portfolio if the currency alpha has a high correlation with Brazilian equities and corporate bonds."

In her response regarding hedging foreign currency exposure in Dias's portfolio, Traldi is most likely:

选项：

A.

correct about the correlations and the currency overlay program

B.

incorrect about the correlations, but correct about the currency overlay program

C.

incorrect about the correlations and the currency overlay program

解释：

Correct Answer: C

Traldi is incorrect about the correlations and the currency overlay program. In the short run, if the correlation between foreign currency asset returns and foreign currency returns is negative, then there may be no need to hedge all foreign currency exposure because some currency exposure is desirable from a portfolio diversification perspective. Regarding the currency overlay program, it will add value to the portfolio only if the currency alpha has a low correlation with other asset classes in the portfolio (i.e., Brazilian equities and corporate bonds).

解释一下文中currency overlay具体错哪了

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Hertz_品职助教 · 2023年02月13日

嗨，从没放弃的小努力你好：


同学你好

同学的问题是让解释下文中currency overlay具体错哪了。所以是题干中关于currency overlay这段的表述。

首先呢，我们先理解一下currency overlay，注意在外汇管理中，我们要学会把外汇就当做一种普通的资产类型，和股票，债券等一样。Currency overlay就是说现在我们想把这个叫做外汇的资产单独剥离出去找人管理，自然是这个资产要很好的从咱们的组合中剥离出去才行啊，即外汇这个资产和其他的资产类型的相关性很低才可以。如果他和其他资产一直藕断丝连难分难舍，肯定是不利于对其单独进行管理。

另外，外部的公司不会考虑到我们整体的头寸的diversification，只是单独看外汇部分来采取策略，如果二者相关性很高，就会因为各自单独管理没有注意到整体的分散性，而可能产生各自管理下的收益还好，但是整体收益却很低的情况，而整个头寸的收益才是我们关心的重点。

所以题干中说相关性要很高才能使得currency overlay策略成功就是错误的了。

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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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