NO.PZ202208100100000502
问题如下：
In her response regarding hedging foreign currency exposure in Dias’s portfolio, Traldi is most likely:
选项：
A.incorrect about the correlations, but correct about the currency overlay program.
incorrect about the correlations and the currency overlay program.
correct about the correlations and the currency overlay program.
解释：
Solution
B is correct. 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).
A is incorrect. Traldi is incorrect with regard to correlations and the currency overlay program.
C is incorrect. Traldi is incorrect with regard to correlations and the currency overlay program.
中文解析：
关于相关性和currency overlay的说法都是错误的。
在短期内，如果外币资产收益与外币收益之间的相关性为负，则没有必要对所有外币风险进行对冲，因为自身就可以实现风险分散化。
currency overlay策略需要把外汇当成一个单独的资产进行管理，并且它和组合中其他资产相关性是越低越好。
为什么短期内correlation between foreign asset returns and foreign currency returns is negative的话，完全不用对冲？