NO.PZ2022123002000018
问题如下：
The third client is Fundo
do Brasil (FB), a Brazilian sovereign wealth fund. FB has long equity positions
in Australian and Swiss equities. Spot and forward market currency information
for AUD and CHF is provided in Exhibit 3. FB managers have asked Campos for
advice on whether it would be appropriate to hedge the currency exposure with
forward contracts in AUD and CHF. Campos indicates she will examine the use of
forward contracts to hedge currency exposure.
Based on the
information provided in Exhibit 3, the most appropriate risk neutral strategy
is for FB to:
选项：
A.under-hedge AUD and over-hedge CHF
over-hedge AUD and not hedge CHF
under-hedge CHF and not hedge AUD
解释：
Correct Answer: B
Because of equity
investments in Australia and Switzerland, FB has long currency exposure to AUD
and CHF. The appropriate risk-neutral strategy is to over-hedge (hedge ratio
> 1) AUD and not hedge CHF. The AUD is selling at a forward premium of
2.27%, which means that the expected roll yield for a short hedge in AUD is
2.27%. Furthermore, the AUD is expected to depreciate by 3.28%, which means the
short position in the AUD gains 3.28%. Thus, a short hedge of the AUD is
appropriate. The CHF is at a forward discount of 2.64%, which means that the
expected roll yield for a short hedge of CHF is –2.64%. The CHF is expected to
appreciate 1.32%, which means that a short position in CHF would lose 1.32%.
Thus, in this instance it would not be appropriate to hedge the CHF.
A is incorrect.
The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD
and not hedge CHF.
C is incorrect.
The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD
and not hedge CHF.
over/under-hedge的判断是基于分析师观点，即expected spot rate就可以吗？还是要结合forward rate 一起。
