NO.PZ2022123002000016
问题如下：
Wilson Manufacturing
(Wilson) is an Australian institutional client of Ethan Lee, who manages a variety
of portfolios across asset classes. Wilson prefers a neutral benchmark over a
rules-based approach, with its investment policy statement (IPS) requiring a
currency hedge ratio between 97% and 103% to protect against currency risk. Lee
has assessed various currency management strategies for Wilson’s US
dollar-denominated fixed-income portfolio to optimally locate it along the
currency risk spectrum. The portfolio is currently in its flat natural neutral
position because of Lee’s lack of market conviction.
Identify the most likely
approach for Lee to optimally locate Wilson’s portfolio on the currency risk
spectrum, consistent with the IPS. Justify your response with two reasons
supporting the approach.
选项：
解释：
Correct Answer:
Passive hedging is
not likely because the IPS allows the 3% band around the neutral position. In
addition, passive hedging is a rules-based approach, which is contrary to
Wilson’s preference.
Active currency
management is not likely because the 3% band around the neutral position is too
limited for that approach. In many cases, the difference between discretionary
hedging and active currency management is more of emphasis than degree. The
primary duty of the discretionary hedger is to protect the portfolio from
currency risk. Active currency management is supposed to take currency risks
and manage them for profit. Leaving actual portfolio exposures near zero for
extended periods is typically not a viable option.
Currency overlay
is not likely because the 3% band is too small to indicate active currency
management in a currency overlay program. In addition, currency overlay
programs are often conducted by external, FX-specialized sub-advisers to a
portfolio, whereas Lee is a generalist managing a variety of portfolios across
asset classes. Finally, currency overlay allows for taking directional views on
future currency movements, and a lack of market conviction is noted here.
没看懂，为什么没有市场观点还可以是discretionary
