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

返回

SophieZ · 2023年07月25日

INR 贬值，USD升值，那么FX(USD/INR )就是下降，如果under hedge,那么FX(USD/INR )的下降风

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202212300200001502

问题如下：

Following analysis of Indian economic fundamentals, C&M’s currency team expects continued stability in interest rate and inflation rate differentials between the United States and India. C&M’s currency team strongly believes the US dollar will appreciate relative to the Indian rupee.

C&M would like to exploit the perceived alpha opportunity using forward contracts on the USD10,000,000 Bhatt portfolio.

Recommend the trading strategy C&M should implement. Justify your response.

选项：

解释：

Correct Answer:

Given C&M’s research conclusion and the IPS constraints, the currency team should under-hedge Bhatt’s portfolio by selling the US dollar forward against the Indian rupee in a forward contract (or contracts) at no less than a 75% hedge ratio of the portfolio’s USD10,000,000 market value. By under-hedging the portfolio relative to the “neutral” (100% hedge ratio) benchmark, the team seeks to add incremental value on the basis of its view that the US dollar will appreciate against the Indian rupee while maintaining compliance with the IPS.

Since the Indian rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would largely eliminate any alpha opportunity. However, a hedge ratio greater than 75% but less than 100% (as dictated by the plus or minus 25% versus neutral IPS constraint) provides the opportunity to capture currency return in the expected US dollar appreciation against the Indian rupee.

INR 贬值，USD升值，那么FX(USD/INR )就是下降，如果under hedge,那么FX(USD/INR )的下降风险则没有全部对冲，不太明白alpha在这个环节是如何赚取的？

添加评论
1 个答案

pzqa31 · 2023年07月25日

嗨，从没放弃的小努力你好：


这道题的逻辑是：本来是担心美元贬值的，所以需要short forward on美元做对冲（注意这个说法默认是百分百对冲的），然后现在预期美元会升值了，所以对我们有利，因此可以少hedge一点。然后去看IPS的要求，IPS允许上下25%的浮动，因此就有了只hedge75%的说法。


Since the Indian rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would largely eliminate any alpha opportunity. 这里的意思是因为预计INR要贬值了，也就是USD要升值了，此时如果100%hedge就不能获得美元升值的好处了，所以underhedge，留一部分外汇敞口，一但美元升值了，还可以享受外币升值的好处，将来可以转换成更多的INR。


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

  • 1

    回答

  • 0

    关注

  • 668

    浏览
相关问题

NO.PZ202212300200001502 问题如下 Followinganalysis of Ineconomic funmentals, C M’s currenteexpectscontinuestability in interest rate aninflation rate fferentials betweenthe UniteStates anInC M’s currentestrongly believes the USllwill appreciate relative to the Inrupee.C M woulliketo exploit the perceivealpha opportunity using forwarcontracts on theUS0,000,000 Bhatt portfolio.Recommenthe trang strategyC M shoulimplement. Justify yourresponse. CorreAnswer:Given C M’sresearconclusion anthe IPS constraints, the currenteshoulnr-hee Bhatt’s portfolio selling the US llforwaragainst theInrupee in a forwarcontra(or contracts) no less tha 75% heeratio of the portfolio’s US0,000,000 market value. unr-heing theportfolio relative to the “neutral” (100% hee ratio) benchmark, the teamseeks to a incrementvalue on the basis of its view ththe US llwillappreciate against the Inrupee while maintaining complianwith the IPS.Sinthe Inanrupee is assumeto preciate against the US llar, a 100% hee ratio woulargely eliminate any alpha opportunity. However, a hee ratio greater than75% but less th100% (ctatethe plus or minus 25% versus neutrIPSconstraint) provis the opportunity to capture currenreturn in the expecteS llappreciation against the Inrupee. They shoulunr-hee the currenrisk, here is to hee 100-25% = 75% from the neutrposition. Unr-heing woulreforegone opportunities of favorable currenmovements.

2024-07-13 17:59 1 · 回答

NO.PZ202212300200001502 问题如下 Followinganalysis of Ineconomic funmentals, C M’s currenteexpectscontinuestability in interest rate aninflation rate fferentials betweenthe UniteStates anInC M’s currentestrongly believes the USllwill appreciate relative to the Inrupee.C M woulliketo exploit the perceivealpha opportunity using forwarcontracts on theUS0,000,000 Bhatt portfolio.Recommenthe trang strategyC M shoulimplement. Justify yourresponse. CorreAnswer:Given C M’sresearconclusion anthe IPS constraints, the currenteshoulnr-hee Bhatt’s portfolio selling the US llforwaragainst theInrupee in a forwarcontra(or contracts) no less tha 75% heeratio of the portfolio’s US0,000,000 market value. unr-heing theportfolio relative to the “neutral” (100% hee ratio) benchmark, the teamseeks to a incrementvalue on the basis of its view ththe US llwillappreciate against the Inrupee while maintaining complianwith the IPS.Sinthe Inanrupee is assumeto preciate against the US llar, a 100% hee ratio woulargely eliminate any alpha opportunity. However, a hee ratio greater than75% but less th100% (ctatethe plus or minus 25% versus neutrIPSconstraint) provis the opportunity to capture currenreturn in the expecteS llappreciation against the Inrupee. 老师好，作为简答题我这样回答可以吗？To capture alpha opertunities, with expectation thcurrenwill appriciate, we shoulrehee or increase the long position in the currency.(原理)Given the strongly expectation of appreciation of USanIPS with scretion of 25% viation from neutrposition of US10,000,000, unr hee strategy shoulimplemente(i.e. To use forwarcontraof 7.5M USto hee the portfolio. 7.5M is from 10M*(100%-25%)=10M*75%=7.5M). （证据+结论）So thif the USreally appreciate, then the 2.5M USexposure left coulhelp to a alpha value for Bhatt. （补充说明？）1）想确认一下，关于结论，关键是回答出unr hee strategy，还是回答出To use forwarcontraof 7.5M USto hee the portfolio？（就是关于这个recommenstrategy到底要写到多具体）2.1)我是否需要写出所用forwar约的notioanl amount是7.5M？ 2)如果需要，是否需要写出7.5M是怎样来的？ 3)如果要，计算过程里用7.5M简写可以吗？还是需要写成 7,500,000? (如果可以简写，感觉可以降低考试时写错小数位的机会)3.最后关于alpha怎么来的这句话“So thif the USreally appreciate, then the 2.5M USexposure left coulhelp to a alpha value for Bhatt.” 我需要写吗? 还是只需要点出了to use forwarcontraunr hege就可以了？

2024-05-19 10:44 1 · 回答

NO.PZ202212300200001502 问题如下 Followinganalysis of Ineconomic funmentals, C M’s currenteexpectscontinuestability in interest rate aninflation rate fferentials betweenthe UniteStates anInC M’s currentestrongly believes the USllwill appreciate relative to the Inrupee.C M woulliketo exploit the perceivealpha opportunity using forwarcontracts on theUS0,000,000 Bhatt portfolio.Recommenthe trang strategyC M shoulimplement. Justify yourresponse. CorreAnswer:Given C M’sresearconclusion anthe IPS constraints, the currenteshoulnr-hee Bhatt’s portfolio selling the US llforwaragainst theInrupee in a forwarcontra(or contracts) no less tha 75% heeratio of the portfolio’s US0,000,000 market value. unr-heing theportfolio relative to the “neutral” (100% hee ratio) benchmark, the teamseeks to a incrementvalue on the basis of its view ththe US llwillappreciate against the Inrupee while maintaining complianwith the IPS.Sinthe Inanrupee is assumeto preciate against the US llar, a 100% hee ratio woulargely eliminate any alpha opportunity. However, a hee ratio greater than75% but less th100% (ctatethe plus or minus 25% versus neutrIPSconstraint) provis the opportunity to capture currenreturn in the expecteS llappreciation against the Inrupee. 如题，题目中提到了两个条件，一个是利差稳定，一个预期美元即将会上升。从利差稳定，不是会推导出用Carry tra吗？我下面这样回答可以吗？Carry tra strategy is to borrow in low yielcurrenaninvest in high yielcurrency, the interest rate fferentials are the most important component of profit of carry tra, so this strategy is suitable for stable market thwith stable interest rate ffferentials between 2 countries.Given thexpectation on stability in interest rate aninflation rate fferentials between the UniteStates anInC M shoulimplement carry tra strategy.

2024-05-16 08:34 1 · 回答

NO.PZ202212300200001502 问题如下 Followinganalysis of Ineconomic funmentals, C M’s currenteexpectscontinuestability in interest rate aninflation rate fferentials betweenthe UniteStates anInC M’s currentestrongly believes the USllwill appreciate relative to the Inrupee.C M woulliketo exploit the perceivealpha opportunity using forwarcontracts on theUS0,000,000 Bhatt portfolio.Recommenthe trang strategyC M shoulimplement. Justify yourresponse. CorreAnswer:Given C M’sresearconclusion anthe IPS constraints, the currenteshoulnr-hee Bhatt’s portfolio selling the US llforwaragainst theInrupee in a forwarcontra(or contracts) no less tha 75% heeratio of the portfolio’s US0,000,000 market value. unr-heing theportfolio relative to the “neutral” (100% hee ratio) benchmark, the teamseeks to a incrementvalue on the basis of its view ththe US llwillappreciate against the Inrupee while maintaining complianwith the IPS.Sinthe Inanrupee is assumeto preciate against the US llar, a 100% hee ratio woulargely eliminate any alpha opportunity. However, a hee ratio greater than75% but less th100% (ctatethe plus or minus 25% versus neutrIPSconstraint) provis the opportunity to capture currenreturn in the expecteS llappreciation against the Inrupee. 如题

2023-07-29 14:51 1 · 回答