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天天天儿 · 2022年03月26日

请问这道题考试时是否可以这样回答?

* 问题详情,请 查看题干

NO.PZ201601050100001202

问题如下:

Determine the most appropriate currency management strategy for Bhatt. Justify your response.


选项:

解释:


Passive hedging is not appropriate because with this approach, the goal is to keep the portfolio’s currency exposures close, if not equal to, those of a benchmark portfolio used to evaluate performance. Passive hedging is a rules-based approach that removes all discretion from the portfolio manager, regardless of the manager’s market opinion on future movements in exchange rates. In this case, Bhatt has granted Darden the discretion to manage currency exposures within a range of plus or minus 25% from the neutral benchmark position.

A discretionary hedging approach is not appropriate because Bhatt has granted Darden more than limited discretion (plus or minus 25% from the neutral position), indicative of an active currency management approach. The discretion granted suggests that Darden’s primary goal is to take currency risks and manage them for profit with a secondary goal of protecting the portfolio from currency risk. The primary goal of a discretionary hedging approach is to protect the portfolio from currency risk while secondarily seeking alpha within limited bounds.

中文解析:

积极的货币管理是最合适的货币管理策略。

首先,被动管理要求与benchmark完全保持一致,而不会允许上下25%的自由度,因此被动管理的方法也不对。

在主动管理这种方法下,投资组合经理可以通过主动承担外汇风险来获取利润。

主动管理的首要目标是获取超额回报。它和Discretionary hedging的方法不同,Discretionary hedging的方法其主要目标是保护投资组合免受货币风险,其次是在有限的范围内寻求阿尔法。

因此可以看到主动管理和Discretionary hedging两种方法的侧重点不同。

本题中Bhatt授予达顿的管理自由是上下25%的范围,这表明了一种积极的货币管理方法。说明达顿的首要目标是承通过外汇管理来获取超额回报,其次是保护投资组合免受汇率风险的影响。所以Discretionary hedging的方法不合适,应该选择主动管理的方法。

答:Active currency management is appropriate for Bhatt. Because there's +/-25% discretion for Darden, indicative of an active currenct management approach.

1 个答案

Hertz_品职助教 · 2022年03月28日

嗨,从没放弃的小努力你好:


同学你好~

1.     如果时间非常紧张,这么答也是可以的,但是阅卷人是否给满分就可能要打个问号了。

2.     因为这道题目最好是能稍微提到一下为什么另外两种方法(passive management,discretionary hedging)为何不合适,加上这两点的话,这个答案就不会有任何失分的可能。

3.     另外注意最基本的单词最好不要有错误。

----------------------------------------------
努力的时光都是限量版,加油!

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