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506623496 · 2024年07月20日

题目知识点

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100001203

问题如下：

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

选项：

解释：

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.

中文解析：

本题中本来担心美元贬值的，应该完全hedge。

但现在预期美元升值，是对我们有利的，因此就可以降低hedge比例的情况了，而可以降低到的最低点就是在100%hedge的基础上下降25%，就是75%。

本题的问法如何想到是under hedge这个知识点？这个点不在交易战略的框架里，看设问想回答的是currency management strategies 的几个方法

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1 个答案

pzqa31 · 2024年07月21日

嗨，爱思考的PZer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。


这道题的关键还是审题，结合题目背景，同学想到currency management里strategic decisions这里是完全正确的，这部分咱们主要需要确定的就是passive/active,hedge不hedge，这道题其实就是考虑的第二个方面的问题，咱们课上也学过哪些情况更倾向于fully hedge，这道题相当于是结合了市场预期+IPS决定underhedge。

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