NO.PZ201601050100000202
问题如下:
Guten Investments GmbH, based in Germany and using the EUR as its reporting currency, is an asset management firm providing investment services for local high net worth and institutional investors seeking international exposures. The firm invests in the Swiss, UK, and US markets, after conducting fundamental research in order to select individual investments. Exhibit 1 presents recent information for exchange rates in these foreign markets.
In prior years, the correlation between movements in the foreign-currency asset returns for the USD- denominated assets and movements in the exchange rate was estimated to be +0.50. After analyzing global financial markets, Konstanze Ostermann, a portfolio manager at Guten Investments, now expects that this correlation will increase to +0.80, although her forecast for foreign-currency asset returns is unchanged.
Ostermann believes that currency markets are efficient and hence that long-run gains cannot be achieved from active currency management, especially after netting out management and transaction costs. She uses this philosophy to guide hedging decisions for her discretionary accounts, unless instructed otherwise by the client.
Ostermann is aware, however, that some investors hold an alternative view on the merits of active currency management. Accordingly, their portfolios have different investment guidelines. For these accounts, Guten Investments employs a currency specialist firm, Umlauf Management, to provide currency overlay programs specific to each client‘s investment objectives. For most hedging strategies, Umlauf Management develops a market view based on underlying fundamentals in exchange rates. However, when directed by clients, Umlauf Management uses options and a variety of trading strategies to unbundle all of the various risk factors (the -Greeks-) and trade them separately.
Ostermann conducts an annual review for three of her clients and gathers the summary information presented in Exhibit 2.
2. Based on Ostermann‘s correlation forecast, the expected domestic-currency return (measured in EUR terms) on USD-denominated assets will most likely:
选项:
A.increase.
B.decrease.
C.remain unchanged.
解释:
C is correct.
An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot exchange rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not change the level of expected domestic-currency return. The domestic-currency return risk is a function of the foreign-currency return risk [σ(RFC)] the exchange rate risk [σ(RFX)] and the correlation between the foreign-currency returns and exchange rate movements. Mathematically, this is expressed as:
If the correlation increases from +0.50 to +0.80, then the variance of the expected domestic-currency return will increase—but this will not affect the level of the expected domestic-currency return (RDC). Refer to the equation shown for the answer in Question 1 and note that Ostermann's expected RFC has not changed. (Once again, note as well that RFX is defined with the domestic currency as the price currency.)
A and B are incorrect. An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not impact the expected domestic-currency return.
中文解析:
问题问的是当相关性ρ(Rfc,Rfx)变大的时候,Rdc是如何变化的。
根据 Rdc=Rfc+Rfx+Rfc*Rfx公式,可知相关系数并不影响Rdc, 所以选择C。
Rdc的公式里面虽然没有提现Rfc和Rfx的相关性,但是在risk to domestic investor中却反复的提到了Rfc和Rfx的相关性,难道考虑相关性的时候只是在有风险的时候考虑吗?
在risk to domestic investor 中提到了 如果correlation<0 ,增加了domestic investor's return volatility