NO.PZ2018111501000015
问题如下:
Raymond, a US analyst, is managing a fund with EUR-denominated assets. The assets are currently hedged by a EUR 500,000 forward contract. The maturity of the forward is March 1, that is three-months away from today. Due to the market condition changes, the assets have increased by EUR 20,000. Assume the USD/EUR spot rate is 1.1338, to rebalance the USD/EUR hedge, Raymond should:
选项:
A.sell EUR 20,000 spot
B.sell a EUR 20,000 three-month forward
C.buy a USD 22,676 three-month forward
解释:
B is correct.
考点:Tools of Currency Management: Forward
解析:动态对冲,在建立对冲机制后,会定期调整对冲比例,实现更好的对冲效果。方法之一是应当针对增值部分签订三个月的远期合约,所以A错,B正确。这种方法投资者手上会同时持有多份合约。C错误的原因是,应该使用forward exchange rate而不是spot exchange rate来计算。
请问执行A选项,直接卖出欧元获利,有什么不可以的吗?