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LLP210 · 2025年06月30日

关于currency overlay fully hedged

NO.PZ2022123002000010

问题如下:

Dias has asked whether it would be appropriate for him to hedge his foreign currency exposure. Campos raises the issue with Traldi and Peixaria. Traldi responds, "In the short run, if the correlation between foreign asset returns and foreign currency returns is negative, then there may be a need to hedge all foreign currency exposure. Alternatively, one could implement a currency overlay program in which the currency exposure is fully hedged and currency alpha is generated separately. This currency overlay strategy will only be successful in adding value to the portfolio if the currency alpha has a high correlation with Brazilian equities and corporate bonds."

In her response regarding hedging foreign currency exposure in Dias's portfolio, Traldi is most likely:

选项:

A.

correct about the correlations and the currency overlay program

B.

incorrect about the correlations, but correct about the currency overlay program

C.

incorrect about the correlations and the currency overlay program

解释:

Correct Answer: C

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).

老师,currency overlay,我理解外包出去,应该是做active management~为什么可以做passive management呢?

1 个答案

李坏_品职助教 · 2025年06月30日

嗨,努力学习的PZer你好:


外包只是说我找了个专业团队替我干活的,至于这个外汇管理究竟是主动的还是被动的风格,那还是要听从我这个基金经理的命令。外包团队只负责执行,不能更改我的意图。

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