NO.PZ2018111501000021
问题如下:
Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.
Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:
选项:
A.under-hedge AUD and over-hedge CHF.
B.over-hedge AUD and not hedge CHF.
C.under-hedge CHF and not hedge AUD.
解释:
B is correct.
考点:Tools of Currency Management: Forward
解析:用forward contracts对冲外汇风险,对冲的是卖AUD和CHF的外汇风险,所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率(即不用合约锁定的汇率),2.1523>2.0355,所以应当hedge AUD,锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF, 2.4641<2.5642, 所以不hedge时,卖CHF的价格更高。
老师,这里有个逻辑点和上课的知识点自己理解上有断层的感觉,请帮忙确认下:
在确认要hedge的情况下,short forward on 外币,而外币的rolling yield为正,所以我们就要over hedge外币。这里over hedge的原因是什么呢?是否可以:本币USD,外币AUD,举个例子说明?