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Carina9999 · 2022年07月06日

这道题目没太看懂,可以解释一下吗?

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NO.PZ201601050100000108

问题如下:

The fund manager of Portfolio B believes that setting up a full currency hedge requires a simple matching of the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract.

Explain how the hedge, as described by the fund manager, will eventually expose the portfolio to currency risk.

选项:

解释:

In practice, matching the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract is likely to be ineffective over time because the market value of foreign-currency assets will change with market conditions. A static hedge (i.e., an unchanging hedge) will tend to accumulate unwanted currency exposures as the value of the foreign-currency assets change. This will result in a mismatch between the market value of the foreign-currency asset portfolio and the nominal size of the forward contract used for the currency hedge (resulting in currency risk). For this reason, the portfolio manager will generally need to implement a dynamic hedge by rebalancing the portfolio periodically.

中文解析:

在实务中,使用远期合约进行对冲时,约定的合约规模是期初时投资组合的规模,但这随着时间的推移将会变得无效,因为需要对冲的外币资产的市场价值是会随着市场条件而变化的,因此对冲的规模也应该随之变化。

静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因,投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。

这道题目没太看懂,可以解释一下吗?

1 个答案

Hertz_品职助教 · 2022年07月07日

嗨,爱思考的PZer你好:


同学你好

本题考察的是静态对冲与动态对冲。

整体的题干中告诉我们本币是美元,然后有两个投资组合A和B,A是英镑计价,B是以欧元计价。

本小题的题干说组合B的基金经理认为,要建立完全的货币对冲,需要将投资组合中外币风险敞口的当前市值与远期合约的头寸保持相等能够抵消就可以。

然后让我们解释一下为什么这种对冲方法会让投资组合暴露在外汇风险中,也就是说为什么这种对冲方法对冲效果不好。

本题的突破点在于题干中说 保持当前的市值被远期头寸抵消就可以,这句话表述的意思其实就是静态对冲。

举例来说假设我们投资了100的外币资产,期限是3个月,因此担心外币贬值,要对冲。

静态对冲:在0时刻就short一份3个月的远期合约,然后合约规模是100(刚好匹配),之后就再也不管了,直到3个月结束的时候,此时投资期和远期都到期了,按照远期合约转换币种就可以。

但是我们知道在3个月期间这个100的投资是会发生变化的,可能涨了10块,也可能跌了30.最后的规模很可能不再是100了,所以此时我们使用的远期合约的规模也需要随着咱们的外币资产的规模变动而变动,这种不断调整的对冲就是动态对冲。

所以答案中说:静态对冲导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。因此投资组合经理需要定期调整来做动态对冲。

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