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Yuyu · 2023年02月11日

over-hedge/under-hedge

  1. CFA III
  2. Derivative

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？

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Hertz_品职助教 · 2023年02月13日

嗨，从没放弃的小努力你好：


同学你好

同学的问题是“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？”

按照同学说的，假设本币是美元，外币资产是AUD。

持有外币资产会担心外币贬值，因而就需要short forward on外币，即short forward on AUD。

Roll yield可以理解为签订远期合约对冲可以给我们带来的好处，如果计算结果为正数，说明对冲对我们有正向的收益，因此鼓励对冲，所以可以增加对冲头寸。因此在IPS允许的范围内是可以over hedge的。

补充一点，如果roll yield计算出来为负数，说明签订远期合约给我们带来的好处是负的，也就是会增加成本了，因此此时就需要降低对冲的比例了。

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

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