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。
我知道2和3的主次目标是相反的，关键是分析题干中降风险和增收哪个是主/次。答案说“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.”，这何以见得，感觉无中生有？
文中先说“His investment policy statement (IPS) allows for exibility in managing currency risk. ”重点还是管理风险，只是管理有一定灵活性。后面才说可以抓住这个机会。那么应该理解为，抓住这个机会只是“灵活性”的体现，总体还是服务于管理风险。我感觉2更合适。
