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椰子皮 · 2022年08月19日

Passive到底需不需要hedge

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000203

问题如下：

3. Based on Ostermann‘s views regarding active currency management, the percentage of currency exposure in her discretionary accounts that is hedged is most likely:

选项：

A.

0%.

B.

50%.

C.

100%.

解释：

A is correct.

Guten believes that, due to efficient currency markets, there should not be any long-run gains for speculating (or active management) in currencies, especially after netting out management and transaction costs. Therefore, both currency hedging and actively trading currencies represent a cost to the portfolio with little prospect of consistently positive active returns. Given a long investment horizon and few immediate liquidity needs, Guten is most likely to choose to forgo currency hedging and its associated costs.

B and C are incorrect because given a long investment horizon and little immediate liquidity needs, Guten is most likely to choose to forgo currency hedging and its associated costs. Guten believes that due to efficient currency markets there should not be any long-run gains when speculating in currencies, especially after netting out management and transaction costs.

中文解析：

根据题干信息可知，奥斯特曼认为，外汇市场是有效的，长期的积极的货币管理不可能带来收益的，尤其是在扣除了管理和交易成本之后。

因此在这种情况下，不需要采取任何策略，hedge 比例为0%

有点糊涂，外汇管理四大strategy的Passive，不是说100%对冲吗？为何这里是不对冲？？

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2 个答案

Hertz_品职助教 · 2022年08月20日

嗨，从没放弃的小努力你好：


同学你好

没有具体的知识点对应的对冲比率，这其实就是对冲概念下的对冲范围或者说对冲幅度的问题，可以认为是衡量对冲多少的一个指标。

比如我们要对100块钱的资产进行对冲，如果对冲比率就是20%，就是只对20块钱的头寸进行对冲，那如果我们要用远期合约来对冲的话，就是将远期合约的规模设置为20块钱就可以了。

讲义中涉及到对冲比率的是MVHR计算对冲比率。在框架图25页：

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加油吧，让我们一起遇见更好的自己！

Hertz_品职助教 · 2022年08月20日

嗨，努力学习的PZer你好：


同学你好

1.     本题其实是不涉及是否是被动管理的问题哈，她需要考虑的知识对冲比率的问题，根据题意我们知道他是不需要进行对冲的，因此对冲比率选择了0.

2.     关于passive和对冲比率的关系，我们需要回到passive hedging的定义，看一下框图19页，如下图。

被动管理的核心在于要跟随benchmark，就是要和基准保持一致。那么意味着这个基准的对冲比率就是我们passive对冲方法要确定的对冲比率。比如基准是百分百对冲，那我们也应该百分百对冲，基准是不对冲的，那我们就不对冲。原则就是跟随基准来哈，因此对冲比率的问题也是看基准怎么来的。

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加油吧，让我们一起遇见更好的自己！

椰子皮 · 2022年08月20日

对冲比率的知识点，能麻烦老师给我粘下图片吗？

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NO.PZ201601050100000203 问题如下 3. Baseon Ostermann‘s views regarng active currenmanagement, the percentage of currenexposure in her scretionary accounts this heeis most likely: A.0%. B.50%. C.100%. A is correct.Guten believes that, e to efficient currenmarkets, there shoulnot any long-run gains for speculating (or active management) in currencies, especially after netting out management antransaction costs. Therefore, both currenheing anactively trang currencies represent a cost to the portfolio with little prospeof consistently positive active returns. Given a long investment horizon anfew immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts.B anC are incorrebecause given a long investment horizon anlittle immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. Guten believes the to efficient currenmarkets there shoulnot any long-run gains when speculating in currencies, especially after netting out management antransaction costs.中文解析根据题干信息可知，奥斯特曼认为，外汇市场是有效的，长期的积极的货币管理不可能带来收益的，尤其是在扣除了管理和交易成本之后。因此在这种情况下，不需要采取任何策略，hee 比例为0% 老师，我有点混了。hee不一定就是passive managment吧，是不是active managment也可以hee

2024-01-08 21:37 1 · 回答

NO.PZ201601050100000203 问题如下 3. Baseon Ostermann‘s views regarng active currenmanagement, the percentage of currenexposure in her scretionary accounts this heeis most likely: A.0%. B.50%. C.100%. A is correct.Guten believes that, e to efficient currenmarkets, there shoulnot any long-run gains for speculating (or active management) in currencies, especially after netting out management antransaction costs. Therefore, both currenheing anactively trang currencies represent a cost to the portfolio with little prospeof consistently positive active returns. Given a long investment horizon anfew immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts.B anC are incorrebecause given a long investment horizon anlittle immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. Guten believes the to efficient currenmarkets there shoulnot any long-run gains when speculating in currencies, especially after netting out management antransaction costs.中文解析根据题干信息可知，奥斯特曼认为，外汇市场是有效的，长期的积极的货币管理不可能带来收益的，尤其是在扣除了管理和交易成本之后。因此在这种情况下，不需要采取任何策略，hee 比例为0% 长期达到均衡水平的话，不可能通过active的管理来获得超额回报，那不就该完全hee掉，类似passive的管理吗这个问题我还是没想明白，老师能通过使用forwar行hee的方法来帮我分析一下吗？

2022-05-12 19:07 2 · 回答

NO.PZ201601050100000203 50%. 100%. A is correct. Guten believes that, e to efficient currenmarkets, there shoulnot any long-run gains for speculating (or active management) in currencies, especially after netting out management antransaction costs. Therefore, both currenheing anactively trang currencies represent a cost to the portfolio with little prospeof consistently positive active returns. Given a long investment horizon anfew immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. B anC are incorrebecause given a long investment horizon anlittle immeate liquity nee, Guten is most likely to choose to forgo currenheing anits associatecosts. Guten believes the to efficient currenmarkets there shoulnot any long-run gains when speculating in currencies, especially after netting out management antransaction costs.请问老师关于这道题因为觉得市场是有效的，考虑到对冲的成本之后不对冲，所以外汇敞口不应该是百分之百吗？

2021-10-31 14:11 1 · 回答

老师好，答案中的\"Given a long investment horizon anfew immeate liquity nee\",这个信息从哪里看出来的啊、？

2020-02-25 16:37 2 · 回答