NO.PZ2016010501000005
问题如下：
Kalila Al-Khalili has been hired as a consultant to a Middle Eastern sovereign wealth fund. The fund‘s oversight committee has asked her to examine the fund‘s financial characteristics and recommend an appropriate currency management strategy given the fund's Investment Policy Statement. After a thorough study of the fund and its finances, Al-Khalili reaches the following conclusions:
■ The fund's mandate is focused on the long-term development of the country, and the royal family (who are very influential on the fund's oversight committee) are prepared to take a long-term perspective on the fund's investments.
■The fund's strategic asset allocation is tilted towards equity rather than fixed-income assets.
■Both its fixed-income and equity portfolios have a sizeable exposure to emerging market assets.
■Currently, about 90% of exchange rate exposures are hedged although the IPS allows a range of hedge ratios.
■Liquidity needs of the fund are minimal, since the government is running a balanced budget and is unlikely to need to dip into the fund in the near term to cover fiscal deficits. Indeed, the expected lifetime of country's large oil reserves has been greatly extended by recent discoveries, and substantial oil royalties are expected to persist into the future.
Based on her investigation, Al-Khalili would most likely recommend:
选项：
A.active currency management.
B.a hedging ratio closer to 100%.
C.a narrow discretionary band for currency exposures.
解释：
A is correct.
The fund has a long-term perspective, few immediate liquidity needs, and a lower weight in fixed income that in equities (bond portfolios are typically associated with hedge ratios closer to 100% than equity portfolios). The emerging market exposure would also support active management, given these countries' typically higher yields (carry trade) and often volatile exchange rates.
B is incorrect because the characteristics of the fund and the beneficial investor (in this case, the royal family) do not argue for a conservative currency strategy.
C is incorrect because a more active currency management strategy would be more suitable for this fund.
中文解析：
题干中描述的这个这个基金的特征包括长期性，倾向于投资股票，在发展国家市场有投资，以及流动性需求小等特点，都告诉我们这只基金没有现在必须要兑付的一些流动性要求呀，或者负债偿付（如果有的话，我们可能需要把敞口尽可能的hedge住），相反的考虑到投资发展中国家市场可能会面临较高的汇率变动，我们应该做更加积极主动地管理（A选项对），而不需要100% hedge住（B选项不对），或者在外汇管理上有更少的自主管理（C选项不对）。
另外，发展中国家一般利率比较高，同时波动比较大。这样就表示投资发展中国家会有很多可能性很多的不确定性（不确定性也就是风险），因为风险与收益并存，于是我们想抓住不确定性中好的可能性来进行获利。所以我们在不断捕捉好的可能性的时候需要的是主动管理，不断根据市场变化，来采取积极主动的措施抓住机会。所以我们在外汇管理中遇到投资发展中国家的情况，默认采取active management。
这题的long-term investment说明→more fully hedged
higher proportion in equity→do not hedge(相对于bond和fx有high correlation才要more hedged)
emerging market→more fully hedged
那么判断的标准就非常模糊，也就是说其实你从这些条件出发没啥用（有些倾向于hedge,有些倾向于not hedge），那么得出的hedge or not hedge就不能决定到底是active or passive？
所以其实给一堆条件都是虚的，是得通过说市场是波动与否，太过波动就得使用active，比较平稳就passive，是这样吗？
