开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

轩羊羊 · 2023年02月07日

没有明白题干中如何体现担心CAD贬值？

  1. CFA III
  2. Derivative

NO.PZ2018113001000085

问题如下：

Bevis is an adviser to WT, a fund management firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one of his clients, which invests mainly in Canada . The client’s IPS gives currency management a free band of plus or minus 30% from a neutral benchmark. Bevis uses forward contracts to manage clients' foreign exchange exposure

Now WT's currency management department expects the Canadian dollar to appreciate against the U.S. dollar.

Recommend the hedging strategy Bevis should implement based on the forecast。

选项：

解释：

Answer：

Bevis should under-hedge Clare’s portfolio by selling the forward contract on USD/CAD at a 70% hedge ratio of the portfolio’s 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 Canadian dollar will appreciate against the US dollar while maintaining compliance with the IPS.

中文解析：

Bevis的客户Clare是个美国人，但主要投资在加拿大。客户的IPS允许外汇管理有一定的自由范围：中性基准上下30%的浮动。

Bevis利用远期合约管理客户的外汇风险敞口。现在预测加拿大元相比于美元要升值，问基于这个预测，Bevis应该为客户做怎样的对冲策略。

持有加拿大的外币资产，因而担心加拿大元贬值，所以应该short forward on USD/CAD，并且远期合约的规模等于投资资产的金额，以实现完全对冲。

现在加拿大元预测要升值，则该对冲比率应该下调，下调的最低水平是组合价值的70%（100%-30%=70%）。这样就可以在符合IPS的要求下，获得加拿大元增值带来的好处了。

如题目，如何体现担心CAD贬值，后来又预测CAD升值?

添加评论
1 个答案
已采纳答案

Hertz_品职助教 · 2023年02月08日

嗨，从没放弃的小努力你好：


同学你好

同学的问题是：如题目，如何体现担心CAD贬值，后来又预测CAD升值?

同学请看题干第一段这句话“Bevis manages the account for Clare, one of his clients, which invests mainly in Canada .”可以看到这个客户他是投资在加拿大的，因此就是拥有加拿大资产，所以会担心加拿大元CAD贬值，因为CAD贬值可以转成的本币就少了。

然后再看第二段“Now WT's currency management department expects the Canadian dollar to appreciate against the U.S. dollar.”这里说了预测加拿大元相比于美元要升值。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 310

    浏览
相关问题

NO.PZ2018113001000085 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevismanages the account for Clare, one of his clients, whiinvests mainly inCana . The client’s IPS gives currenmanagement a free banof plusor minus 30% from a neutrbenchmark. Bevis uses forwarcontracts to manageclients' foreign exchange exposureNow WT's currenmanagement partment expects the Canallto appreciate against the U.S. llar. Recommenthe heing strategy Bevis shoulimplement baseon the forecast。 AnswerBevis shoulunr-hee Clare’s portfolio selling the forwarcontraon USC a 70% hee ratio of the portfolio’s market value. unr-heing the portfolio relative to the “neutral” (100% hee ratio) benchmark, the teseeks to a incrementvalue on the basis of its view ththe Canallwill appreciate against the US llwhile maintaining complianwith the IPS.中文解析Bevis的客户Clare是个美国人，但主要投资在加拿大。客户的IPS允许外汇管理有一定的自由范围中性基准上下30%的浮动。Bevis利用远期合约管理客户的外汇风险敞口。现在预测加拿大元相比于美元要升值，问基于这个预测，Bevis应该为客户做怎样的对冲策略。持有加拿大的外币资产，因而担心加拿大元贬值，所以应该short forwaronUSCA并且远期合约的规模等于投资资产的金额，以实现完全对冲。现在加拿大元预测要升值，则该对冲比率应该下调，下调的最低水平是组合价值的70%（100%-30%=70%）。这样就可以在符合IPS的要求下，获得加拿大元增值带来的好处了。 持有加元资产，担心加元贬值，则short forwarcontraUSCA 那么long forwarcontraCAUS以吗？

2024-06-23 18:57 1 · 回答

NO.PZ2018113001000085 中性基准怎么理解啊？请老师帮忙

2023-12-30 23:27 1 · 回答

NO.PZ2018113001000085问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevismanages the account for Clare, one of his clients, whiinvests mainly inCana . The client’s IPS gives currenmanagement a free banof plusor minus 30% from a neutrbenchmark. Bevis uses forwarcontracts to manageclients' foreign exchange exposureNow WT's currenmanagement partment expects the Canallto appreciate against the U.S. llar. Recommenthe heing strategy Bevis shoulimplement baseon the forecast。 AnswerBevis shoulunr-hee Clare’s portfolio selling the forwarcontraon USC a 70% hee ratio of the portfolio’s market value. unr-heing the portfolio relative to the “neutral” (100% hee ratio) benchmark, the teseeks to a incrementvalue on the basis of its view ththe Canallwill appreciate against the US llwhile maintaining complianwith the IPS.中文解析Bevis的客户Clare是个美国人，但主要投资在加拿大。客户的IPS允许外汇管理有一定的自由范围中性基准上下30%的浮动。Bevis利用远期合约管理客户的外汇风险敞口。现在预测加拿大元相比于美元要升值，问基于这个预测，Bevis应该为客户做怎样的对冲策略。持有加拿大的外币资产，因而担心加拿大元贬值，所以应该short forwaronUSCA并且远期合约的规模等于投资资产的金额，以实现完全对冲。现在加拿大元预测要升值，则该对冲比率应该下调，下调的最低水平是组合价值的70%（100%-30%=70%）。这样就可以在符合IPS的要求下，获得加拿大元增值带来的好处了。 请问是哪一个知识点呀

2023-11-02 22:39 1 · 回答

NO.PZ2018113001000085 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevismanages the account for Clare, one of his clients, whiinvests mainly inCana . The client’s IPS gives currenmanagement a free banof plusor minus 30% from a neutrbenchmark. Bevis uses forwarcontracts to manageclients' foreign exchange exposureNow WT's currenmanagement partment expects the Canallto appreciate against the U.S. llar. Recommenthe heing strategy Bevis shoulimplement baseon the forecast。 AnswerBevis shoulunr-hee Clare’s portfolio selling the forwarcontraon USC a 70% hee ratio of the portfolio’s market value. unr-heing the portfolio relative to the “neutral” (100% hee ratio) benchmark, the teseeks to a incrementvalue on the basis of its view ththe Canallwill appreciate against the US llwhile maintaining complianwith the IPS.中文解析Bevis的客户Clare是个美国人，但主要投资在加拿大。客户的IPS允许外汇管理有一定的自由范围中性基准上下30%的浮动。Bevis利用远期合约管理客户的外汇风险敞口。现在预测加拿大元相比于美元要升值，问基于这个预测，Bevis应该为客户做怎样的对冲策略。持有加拿大的外币资产，因而担心加拿大元贬值，所以应该short forwaronUSCA并且远期合约的规模等于投资资产的金额，以实现完全对冲。现在加拿大元预测要升值，则该对冲比率应该下调，下调的最低水平是组合价值的70%（100%-30%=70%）。这样就可以在符合IPS的要求下，获得加拿大元增值带来的好处了。 什么是unr-hee和hee ratio？

2023-08-31 11:50 2 · 回答

NO.PZ2018113001000085 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevismanages the account for Clare, one of his clients, whiinvests mainly inCana . The client’s IPS gives currenmanagement a free banof plusor minus 30% from a neutrbenchmark. Bevis uses forwarcontracts to manageclients' foreign exchange exposureNow WT's currenmanagement partment expects the Canallto appreciate against the U.S. llar. Recommenthe heing strategy Bevis shoulimplement baseon the forecast。 AnswerBevis shoulunr-hee Clare’s portfolio selling the forwarcontraon USC a 70% hee ratio of the portfolio’s market value. unr-heing the portfolio relative to the “neutral” (100% hee ratio) benchmark, the teseeks to a incrementvalue on the basis of its view ththe Canallwill appreciate against the US llwhile maintaining complianwith the IPS.中文解析Bevis的客户Clare是个美国人，但主要投资在加拿大。客户的IPS允许外汇管理有一定的自由范围中性基准上下30%的浮动。Bevis利用远期合约管理客户的外汇风险敞口。现在预测加拿大元相比于美元要升值，问基于这个预测，Bevis应该为客户做怎样的对冲策略。持有加拿大的外币资产，因而担心加拿大元贬值，所以应该short forwaronUSCA并且远期合约的规模等于投资资产的金额，以实现完全对冲。现在加拿大元预测要升值，则该对冲比率应该下调，下调的最低水平是组合价值的70%（100%-30%=70%）。这样就可以在符合IPS的要求下，获得加拿大元增值带来的好处了。 the Canallwill appreciate against the U.S. llar, so Bevis shoulrehee forwarcontracts.baseon the client’s free banof plus or minus 30% from a neutrbenchmark, he shoulshort forwarcontracts hee ratio 70%.

2023-05-20 22:24 1 · 回答