衍生品课后题第3个module第14题
Darden meets with Bhatt and learns that Bhatt will be moving back to his home
country of India next month to resume working as a commodity trader. Bhatt is
concerned about a possible US recession. His investment policy statement (IPS)
allows for flexibility in managing currency risk. Overall returns can be enhanced
by capturing opportunities between the US dollar and the Indian rupee (INR)
within a range of plus or minus 25% from the neutral position using forward con
tracts on the currency pair. C&M has a currency overlay team that can appropri
ately manage currency risk for Bhatt’s portfolio.
Determine the most appropriate currency management strategy for Bhatt. Justi
fy your response. 选择是被动策略\自由裁量策略\主动策略 中哪一个
答案是主动策略，答案的解释意思是25%的容忍度区间是太宽了所以不算自由裁量吗？没有看明白。
答案如下：Active currency management is the most appropriate currency management strategy because with this approach, the portfolio manager is supposed to take currency risks and manage them for profit with the primary goal of adding alpha to the portfolio through successful trading. This primary goal differs from the discretionary hedging approach in which the manager’s primary duty is to protect the portfolio from currency risk and secondarily seek alpha within limited bounds. While the difference between active currency management and discretionary hedging is one of emphasis more than degree, the bounded discretion that Bhatt has granted Darden (plus or minus 25% from the neutral position) strongly suggests that Darden is expected to take currency risk and seek alpha with priority over portfolio protection from currency risk.
