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FrankSun · 2023年01月01日

Currency Overlay Programe

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000105

问题如下：

5. The investment policy statement (IPS) for Portfolio A provides the manager with discretionary authority to take directional views on future currency movements. The fund manager believes the foreign currency assets of the portfolio could be fully hedged internally. However, the manager also believes existing firm personnel lack the expertise to actively manage foreign-currency movements to generate currency alpha.

Recommend a solution that will provide the fund manager the opportunity to earn currency alpha through active foreign exchange management.

选项：

解释：

A solution is to put in place a currency overlay program for active currency management. Because internal resources for active management are lacking, the fund manager would outsource currency exposure management to a sub-advisor that specializes in foreign exchange management. This approach would allow the fund manager of Portfolio A to separate the currency hedging function (currency beta), which can be done effectively internally, and the active currency management function (currency alpha) which can be managed externally by a foreign currency specialist.

中文解析：

本题考察的是currency overlay。

这种外包的方法将允许投资组合的基金经理将货币对冲功能和主动货币管理功能分开，前者可以在内部有效地进行，后者可以由外汇专家在外部进行管理。

Currency Overlay Programe

Currency Overlay Programe can enable to take directional views on future currency movements and outsource to the professional expertise to actively manage foreign-currency movements to generate currency alpha.

这样可以得满分吗？谢谢

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1 个答案

Hertz_品职助教 · 2023年01月02日

嗨，从没放弃的小努力你好：


同学你好

我认为可能需要完善一些。

一是由于内部缺乏专业的从事外汇管理的人才，所以需要将外汇部分外包出去（这一点同学答出了，对应着“outsource to the professional expertise to actively manage foreign-currency movements to generate currency alpha”）

第二方面，currency overlay策略是将内部对冲和外汇管理部分分开了，因此可以保证第三方可以单独的进行外汇管理，对应着原解析中的表述是“This approach would allow the fund manager of Portfolio A to separate the currency hedging function (currency beta), which can be done effectively internally, and the active currency management function (currency alpha) which can be managed externally by a foreign currency specialist.”。

在这层意思上，我认为同学表达的可能略有欠缺，建议参考解析这段背诵记忆一下哈，因为关于这个策略考察的还是比较单一的，记住这样一两句话可能要比自己来写，得高分的概率能更高些~

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