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%。
这道题很巧妙，和上一问的25%联系起来。但我读完题目只能得出他应该要short美元，所以我写的策略只是short美元获利。
因为原文并没有出现他已经100%hedge这个组合，或者是hedge了一部分这个组合。第二题的题干只是给了一堆条件，说“允许”灵活管理外汇风险。相当于第三题的答案的前提是这个人实施了第二题我们写出的策略，才会有第三题under-hedge的答案。请老师梳理一下，他这个under-hedge哪来的？这种逻辑在考试中是否是一个默认逻辑？
