NO.PZ201601050100000108
问题如下：
The fund manager of Portfolio B believes that setting up a full currency hedge requires a simple matching of the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract.
Explain how the hedge, as described by the fund manager, will eventually expose the portfolio to currency risk.
选项：
解释：
In practice, matching the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract is likely to be ineffective over time because the market value of foreign-currency assets will change with market conditions. A static hedge (i.e., an unchanging hedge) will tend to accumulate unwanted currency exposures as the value of the foreign-currency assets change. This will result in a mismatch between the market value of the foreign-currency asset portfolio and the nominal size of the forward contract used for the currency hedge (resulting in currency risk). For this reason, the portfolio manager will generally need to implement a dynamic hedge by rebalancing the portfolio periodically.
中文解析：
在实务中，使用远期合约进行对冲时，约定的合约规模是期初时投资组合的规模，但这随着时间的推移将会变得无效，因为需要对冲的外币资产的市场价值是会随着市场条件而变化的，因此对冲的规模也应该随之变化。
静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因，投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。
因为我在答题时没有意识到fully hedge=static hedge=static hedge会造成mismatch从而导致currency risk，而是直接从题目"什么会最终导致currency risk"。于是思考做hedge就会有方向做反的风险——我理解也是mismatch的一种形式，以及题干中用的是forward，相较于futures是会有counterparty risk，所以我的回答如下，请问是否可以？
1.exchange rate moves to the opposite direction against expectation may cause losses.
2.counterparty risk as full currency hedge is implemented by forward, it's an OTC trade which doesn't require MTM valuation.
