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Ethan · 2022年05月29日

这题考试要写到什么程度？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000103

问题如下：

3. The fund manager of Portfolio B is evaluating an internally-managed 100% foreign-currency hedged strategy.

Discuss two forms of trading costs associated with this currency management strategy.

选项：

解释：

Any two of the following four points is acceptable:

• Trading requires dealing on the bid/offer spread offered by dealers. Dealer profit margin is based on these spreads. Maintaining a 100% hedge will require frequent rebalancing of minor changes in currency movements and could prove to be expensive. "Churning" the hedge portfolio would progressively add to hedging costs and reduce the hedge's benefits.

• A long position in currency options involves an upfront payment. If the options expire out-of-the- money, this is an unrecoverable cost.

• Forward contracts have a maturity date and need to be "rolled" forward with an FX swap transaction to maintain the hedge. Rolling hedges typically generate cash inflows and outflows, based on movements in the spot rate as well as roll yield. Cash may have to be raised to settle the hedging transactions (increases the volatility in the organization‘s cash accounts). The management of these cash flow costs can accumulate and become a large portion of the portfolio‘s value, and they become more expensive for cash outflows as interest rates increase.

• Hedging requires maintaining the necessary administrative infrastructure for trading (personnel and technology systems). These overhead costs can become a significant portion of the overall costs of currency trading.

中文解析：

对冲成本包括交易成本和机会成本两种，本题考察的是交易成本。主要包括四点：

1. 交易要求在交易商提供的买卖价差上进行交易。经销商的利润是基于这些价差。维持100%的对冲将需要经常对汇率变动的微小变化进行再平衡，而且可能代价高昂。再平衡的时候也会增加对冲成本，降低对冲收益。

2. 期权需要支付期权费，如果到期期权处于OTM的状态，没有被行权的话，这笔期权费将会成为一种无法收回的成本。

3.使用远期合约进行对冲时，因为远期合约有到期日，需要不断向前滚动展期，展期的过程中会产生现金流入和流出。如果产生的是现金的流入，则会增加收益降低成本，但是如果产生的是现金的流出就会增加成本。

4.行政管理费用。对冲需要维护必要的交易管理基础设施(人事和技术系统)。这些间接成本可能会成为交易总成本的重要组成部分。

如题，答案太长了。比如期权费那一点，第二句“If the options expire out-of-the- money, this is an unrecoverable cost.”需要写吗？还是只写出两个成本是什么就行了？

我是这么答的：

  • the overhead cost. such some fee to maintain some trading infrastructure.
  • the option premium, if use option to do the hedging strategy.



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Hertz_品职助教 · 2022年05月30日

嗨，努力学习的PZer你好：


同学你好

题目要求写两条，同学这样写是可以的。

不用像答案分析的那么多，这道题目是课后题，课后题的解析是参考答案，是包含了不需要写的解释部分的。

然后咱们品职出了一套学习资料，叫做三级课后题主观题答案要点梳理。里面整理了各科课后题主观题的答题要点，是对原答案做了精简的，同学可以在前台下载或者跟自己的辅导员要一下这个资料。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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