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蛋黄也酥酥 · 2022年05月22日

本币外币。

* 问题详情,请 查看题干

NO.PZ201601050100001203

问题如下:

Recommend the trading strategy C&M should implement. Justify your response.

选项:

解释:

Given C&M’s research conclusion and the IPS constraints, the currency team should under-hedge Bhatt’s portfolio by selling the US dollar forward against the Indian rupee in a forward contract (or contracts) at no less than a 75% hedge ratio of the portfolio’s USD10,000,000 market value. By under-hedging the portfolio relative to the “neutral” (100% hedge ratio) benchmark, the team seeks to add incremental value on the basis of its view that the US dollar will appreciate against the Indian rupee while maintaining compliance with the IPS.

Since the Indian rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would largely eliminate any alpha opportunity. However, a hedge ratio greater than 75% but less than 100% (as dictated by the plus or minus 25% versus neutral IPS constraint) provides the opportunity to capture currency return in the expected US dollar appreciation against the Indian rupee.

中文解析:

本题中本来担心美元贬值的,应该完全hedge

但现在预期美元升值,是对我们有利的,因此就可以降低hedge比例的情况了,而可以降低到的最低点就是在100%hedge的基础上下降25%,就是75%

这道题的第三小问是不是本币外币转换了,原来USD是本币,现在回到印度,INR变成本币了。

1 个答案

Hertz_品职助教 · 2022年05月22日

嗨,从没放弃的小努力你好:


同学你好~

是的,这道小题目对应的题干说他要回答他的祖国印度了,所以INR变成了本币,美元就变成了外币,因此就是担心美元贬值啦

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努力的时光都是限量版,加油!

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