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Zunniyaki · 2022年12月18日

hedge ratio greater than75%是不是就等于hedge住了USD portfolio 7,500,000风险敞口？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

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%。

hedge ratio greater than75%是不是就等于hedge住了USD portfolio 7,500,000风险敞口？但是由于题目中没给future contract price，我们也不知道该用多少份合约hedge吧？

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1 个答案

Hertz_品职助教 · 2022年12月19日

嗨，努力学习的PZer你好：


同学你好

问题：hedge ratio greater than75%是不是就等于hedge住了USD portfolio 7,500,000风险敞口？但是由于题目中没给future contract price，我们也不知道该用多少份合约hedge吧？

回答：是的哈。需要对冲的头寸就是7.5million。

另外，本题使用的是远期合约，一般我们使用远期合约对冲的时候，只需要知道对冲的规模是多少。

同学在这里说的是期货合约，期货合约和远期不同，期货合约是标准的合约，会告诉我们一份合约的规模，因此可以求多少份的期货合约，当然如果要求的话也是需要题干给出进一步的信息的。

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努力的时光都是限量版，加油！

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