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).
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.
错误应该是短期可以不hedge？
Alternatively, one could implement a currency overlay program in which the currency exposure is fully hedged and currency alpha is generated separately.
错误应该是不fully hedge？
还有个很弱的问题
derivative overlay是用衍生品管理
currency overlay是指外汇管理外包？
