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yer8598 · 2021年03月16日

这题用roll yield考虑可以吗？

  1. CFA III
  2. Derivative

NO.PZ2018111501000021

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

用current spot rate和forward rate分别算roll yield，AUD有forward premium，roll yield>0，所以要hedge，这么想对吗？ 
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1 个答案

Hertz_品职助教 · 2021年03月16日

嗨，爱思考的PZer你好：


嗨 同学你好~

  我明白比的思路了哈~~你是想用roll yield 的知识点，当F>S,且我们是short FC 的头寸，这时候有positive roll yield，所以对于AUD头寸，倾向于做hedge。反之，对于CHF就不做hedge。其实如果表格给到的信息没有预测的6个月以后的即期汇率(six-month forecast spot rate)，这么思考是OK的哈~但是呢，当题目给到这个信息的时候考察的就不是这个roll yield这个知识点了

以AUD为例，当前是2.1046，合约约定的是2.1523，假设表格中给到的最后一列的预测的6个月后的汇率是2.1600（不是现在的2.0355），这种假设的情况下是不是用roll yield的知识点我们仍要判断做hedge呀，但是实际呢，如果我们不做hedge，我们到时候可以用更高的2.1600卖出AUD啦，所以我们是不需要做hedge的。

这个题目按照解析中给到的思路是正确的哈~希望能解答你的疑问~加油！

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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