SophieZ · 2023年07月25日

第二问关于汇率变化带来的影响未有答案

NO.PZ2022123002000006

问题如下：

Jake Piesz, CFA, and Carol Chlapowski, CFA Level II candidate, are senior analysts at Ankit Capital Management (Ankit), a US investment firm that provides multiple investment services for its clients. Piesz is in charge of managing client portfolios. Chlapowski is in charge of hedging portfolio risk using derivative instruments. Piesz and Chlapowski are meeting with Ankit Gehlot, CFA, the head of investment services, to discuss recent developments in client portfolios.

Kai Dong, a US client at Ankit, is a high net worth individual with investments in Switzerland, the UK and Germany. Exhibit 1 provides the details of Dong’s international portfolio. Dong’s IPS gives Ankit discretion in managing currency risk in the portfolio. Gehlot requests that Piesz calculate the overall return on Dong’s portfolio and evaluate the effects of exchange rate fluctuations.

Calculate the overall domestic (USD) currency returns on Dong’s portfolio using the information in Exhibit 1.

选项：

解释：

Correct Answer:

Domestic currency return = (1+ R_FC) (1+ R_FX) – 1

USD return for German assets: (1.036) (1.14/1.1) – 1 = 7.37%

USD return for UK assets: (1.041) (1.27/1.3) – 1 = 1.70%

USD return for Swiss assets: (0.973) {(1/1.01)/(1/0.96)} – 1 = –7.52%

Note: For Switzerland, change the exchange rate into a direct quote before calculating the domestic return.

Net USD on the overall portfolio is the weighted average return:

(0.45 * 7.37%) + (0.25 * 1.70%) + (0.30 * –7.52%) = 1.485%

第二问关于汇率变化带来的影响未有答案

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pzqa31 · 2023年07月27日

嗨，从没放弃的小努力你好：

同学你好，补充第二问的答案如下：

The fluctuations of exchange rate impacts the total return of the portfolio, especially for international investments, and can either be positive

(if the foreign currency strengthens against the domestic currency) or negative (if it weakens).

Let's evaluate the effects of exchange rate fluctuations for each country:

Germany: The exchange rate went from USD/EUR=1.10 to USD/EUR=1.14. This is a currency appreciation of about 3.64%, as 1.14 /1.10-1 = 0.0364. This strengthens the return from the German assets.

UK: The exchange rate went from USD/GBP=1.30 to USD/GBP=1.27. This is a currency depreciation of about 2.31%, as 1.27/ 1.30-1 = -0.0231. This would reduce the return from the UK assets.

Switzerland: The exchange rate went from CHF/USD=0.96 to CHF/USD=1.01. This is a currency depreciation of about 4.95%, as 0.96/1.01-1 =

-0.0495 (Please attention this is a Indirect Quotation). This would reduce the return from the Swiss assets.

Therefore, we can see that exchange rate fluctuations have resulted in additional returns for the German portions of the portfolio, but have reduced returns for the UK and Swiss portion. The overall effect on the portfolio will depend on the individual weights of these investments in the portfolio.When managing this portfolio, it's essential to consider not just the asset returns, but also the potential effects of currency fluctuations. This can be particularly important when the investment is in a currency that's volatile or expected to depreciate. Hedging strategies, such as the use of futures, options, or swaps, can be used to manage this currency risk.

汇率波动的影响体现在整个组合的投资收益上，尤其是对于国际投资来说，收益可能是正的（如果外币相对于本币升值）或者是负的（如果外币贬值）。

针对这道题，我们可以单独评估每个国家的汇率波动效应：

德国：汇率从USD/EUR=1.10变为USD/EUR=1.14，汇率升值约3.64%，计算方式为1.14 / 1.10 - 1 = 0.0364。这增强了德国资产的收益。

英国：汇率从USD/GBP=1.30变为USD/GBP=1.27。汇率贬值约2.31%，计算方式为1.27 / 1.30 - 1 = -0.0231。这降低了英国资产的收益。

瑞士：汇率从CHF/USD=0.96变为CHF/USD=1.01。汇率贬值约4.95%，计算方式为0.96 / 1.01 - 1 = -0.0495（请注意这是间接标价法，需要转换成直接标价法再进行计算）。这降低了瑞士资产的收益。

我们可以看到，汇率波动导致德国资产的收益增加，但是英国和瑞士资产的收益降低。对于投资组合的整体影响将取决于这些投资在投资组合中的权重。

因此在管理这个投资组合时，不仅要考虑资产收益，还要考虑货币波动的可能影响。当投资的货币预期存在波动或贬值时，可以采用期货、期权或互换等对冲策略来管理这种货币风险。

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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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pzqa31 · 2023年07月25日

嗨，爱思考的PZer你好：

问题已反馈，后期会更新题库答案，请同学持续关注！

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加油吧，让我们一起遇见更好的自己！

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