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Ethan · 2022年05月29日

这道题问法感觉不像考试问法，直接让解释一句话

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000104

问题如下：

4. Gupta tells the fund manager of Portfolio B:

"We need to seriously consider the potential costs associated with favorable currency rate movements, given that a 100% hedge-ratio strategy is being applied to this portfolio."

Explain Guptas statement in light of the strategic choices in currency management available to the portfolio manager.

选项：

解释：

Optimal hedging decisions require balancing the benefits of hedging against the costs of hedging. Hedging costs come mainly in two forms: trading costs and opportunity costs. Gupta is referring to the opportunity cost of the 100% hedge strategy. The opportunity cost of the 100% hedge strategy for Portfolio B is the forgone opportunity of benefiting from favorable currency rate movements. Gupta is implying that accepting some currency risk has the potential to enhance portfolio return. A complete hedge eliminates this possibility.

中文解析：

对冲成本包括交易成本和机会成本，本题考察的是机会成本。

对冲成本主要有两种形式:交易成本和机会成本。机会成本指的是100%对冲策略下，也放弃了的汇率朝有利方向变动时，可以获得收益的机会。

我是这样回答的是否足够？

  • 100% hedge-ratio can bring more trading cost because of frequent trade to rebalance.
  • with favorable currency rate movements, 100% hedge-ratio can bring more opportunity cost.
  • to reduce these cost, he can choose to partial hedge the portfolio. such as discretionary hedge.


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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

这道题目重点在于答出机会成本并解释，所以建议这么回答：

Gupta is referring to the opportunity cost of the 100% hedge strategy.

The opportunity cost of the 100% hedge strategy for Portfolio B is the forgone opportunity of benefiting from favorable currency rate movements.

另外，也不必写为了降低这个成本他应该怎么做，当然答出来也没有问题，只是不作为大答题要点的部分，为了节省时间可以不写。

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努力的时光都是限量版，加油！

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