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问一道题：NO.PZ201902210100000106

* 问题详情，请查看题干

问题如下：

If Winslow is allowed to hedge into any of the currencies, she can obtain the highest expected returns by

选项：

buying the Greek 5-year in each portfolio and hedging it into Pesos.

buying the Greek 5-year in each portfolio and hedging it into USD.

buying the Mexican 5-year in each portfolio and not hedging the currency.

解释：

A is correct.

As shown in the previous question, the Greek bond is the most attractive. Although the Peso is expected to depreciate by 2% against the EUR and the GBP and by 1% against the USD, this is less than the benefit of hedging EUR into MXN (+3.475%). The net currency component of the expected return is +1.475% = (3.475% – 2.0%) for the EUR and GBP portfolios and +2.475% = (3.475% – 1.0%) for the USD-denominated portfolio. Hedging into GBP would add only 0.175% for any of the portfolios. Hedging into USD would reduce expected return for any of the portfolios because the pick up on the hedge (+0.625%) is less than the expected depreciation (–1.0%) of the USD against the Euro and GBP.

B is incorrect. Hedging the Euro-denominated Greek bond into USD would reduce expected return for any of the portfolios because the pick on the hedge (+0.625%) is less than the expected depreciation of the USD against the Euro and GBP.

C is incorrect. As shown above, the Greek bond is more attractive than the Mexican bond.

The net currency component of the expected return is +2.475% = (3.475% – 1.0%) for the USD-denominated portfolio. Hedging into GBP would add only 0.175% for any of the portfolios.

这是什么意思？

嗨，从没放弃的小努力你好：

“The net currency component of the expected return is +2.475% = (3.475% – 1.0%) for the USD-denominated portfolio. Hedging into GBP would add only 0.175% for any of the portfolios.

这是什么意思？”

这是一道原版书Case题，这道题需要基于上面一道题，如下，要基于27题：

在第27题里，我们已经选出来了Greek bond是最好的债券，所以我们在所有的Portfolio里，都买了这支Greek bond。

然后这道题的要求是，我们可以把Portfolio里的这支Greek bond利用Forward Hedge成任意一种外汇，目标就是通过Forward的Hedge在额外赚取一笔外汇收益。

利用Forward把一种货币Hedge成另外一种货币，Hedge的收益约定于两国的利率差；因为Forward的期限是6个月的期限，所以是两国6个月的利率差。

根据这道题的利率表格，发现如果我们把EUR hedge成MXN，利用Forward获得的汇率收益最大，利用Forward hedge外汇产生的收益约等于两国的利率差，因为Hedge的目标货币是MXN，所以MXN的6个月利率应该在减号前面。所以把Greek bond的EUR收益，Hedge成MXN的收益为：

(7.10% - 0.15%) / 2 = 3.475%

虽然上面的利率数据都是6个月的利率数据，但是表格里给的是年化利率，所以要除以2。

对于USD Portfolio，我们利用6个月的Forward先把Greek bond的EUR收益Hedge成MXN，产生的收益是3.475%，但终究我们是USD portfolio，还需要把MXN的收益再换回USD。

根据题干信息：

Mexican Peso will depreciate by 2% against the Euro, the US Dollar will depreciate by 1% against the Euro, and the British Pound will remain stable versus the Euro

MXN相对EUR贬值2%，USD相对EUR贬值1%，所以MXN相对USD贬值1%。（本题近似）

所以，将来把MXN换回USD，我们会损失1%，所以我们先把USD账户里Greek bond的EUR收益通过Forward hedge成MXN收益，赚取3.475%的额外收益，再把MXN换回USD损失1%，这样一来一回的净收益为：

（3.475% - 1%）=2.475%

这就是答案里2.475%的意思。

相反，如果把Greek bond的EUR收益，Hedge成GBP，产生的收益为：

（0.50%-0.15%）/ 2 = 0.175%

Hedge成GBP产生的收益只有0.175%，远远小于Hedge成MXN 3.475%的收益。

如果要算Hedge成GBP的净收益的话，对于USD账户，利用Forward把Greek bond的EUR收益，Hedge成GBP，产生的收益为0.175%，再把GBP换回USD，损失1%，所以这一来一回净收益是：0.175% - 1%，收益为负数，显然不如2.475%的收益。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

问一道题：NO.PZ201902210100000106

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