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超人天天飞 · 2021年04月25日

什么叫under-hedge和over-hedge

  1. CFA III
  2. Asset Allocation

NO.PZ2018111501000021

问题如下：

Fundo doBrasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positionsin Australian and Swiss equities. Spot and forward market currency informationfor AUD and CHF is provided in Exhibit 1. FB managers have asked Campos foradvice on whether it would be appropriate to hedge the currency exposure withforward contracts in AUD and CHF. Campos indicates she will examine the use offorward contracts to hedge currency exposure.

Based on theinformation provided in Exhibit 1, the most appropriate risk neutral strategyis for FB to:

选项：

A.

under-hedge AUD and over-hedgeCHF.

B.

over-hedge AUD and not hedgeCHF.

C.

under-hedge CHF and not hedgeAUD.

解释：

B iscorrect.

考点：Tools ofCurrency Management: Forward

解析：用forwardcontracts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。

​什么叫under-hedge和over-hedge

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Hertz_品职助教 · 2021年04月25日

嗨，爱思考的PZer你好：


同学你好~

咱们看这个表格3，可以看到AUD预期是在贬值的（从2.1046贬值到2.0355），而CHF是升值的（从2.5309升值到2.5642），注意我们这里看的是current rate 和forecast rate。所以对于AUD，因为他要贬值我们肯定要进行hedge，就是用forward 合约锁定汇率在2.1523（第三列的数字），这样我们在合约到期的时候就可以按照这个高价进行交易了。

Over hedge 我们想利用hedge合约中约定的高价多赚点钱，举一个简单的例子来说：我们本来需要hedge100就够了，但是我们现在hedge了120，多出来的20就是想利用合约约定的高价赚钱；under hedge就是本来我们应该hedge100，但是我们就hedge了80，也是基于想多一点可能性，毕竟完全hedge住，虽然没有了风险，但是也没有了赚更多钱的可能性了嘛

（如有疑问 欢迎追问）

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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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