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chenru · 2023年06月30日

是根据25%判断不是discretionary 吗?discretionary 的最大比例是多少?

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NO.PZ202212300200001501

问题如下:

Determine the most appropriate currency management strategy for Bhatt. Justify your response.


选项:

解释:

Correct Answer:


Passive hedging is not appropriate because with this approach, the goal is to keep the portfolio’s currency exposures close, if not equal to, those of a benchmark portfolio used to evaluate performance. Passive hedging is a rules-based approach that removes all discretion from the portfolio manager, regardless of the manager’s market opinion on future movements in exchange rates. In this case, Bhatt has granted Darden the discretion to manage currency exposures within a range of plus or minus 25% from the neutral benchmark position.

A discretionary hedging approach is not appropriate because Bhatt has granted Darden more than limited discretion (plus or minus 25% from the neutral position), indicative of an active currency management approach. The discretion granted suggests that Darden’s primary goal is to take currency risks and manage them for profit with a secondary goal of protecting the portfolio from currency risk. The primary goal of a discretionary hedging approach is to protect the portfolio from currency risk while secondarily seeking alpha within limited bounds.

是根据25%判断不是discretionary 吗?discretionary 的最大比例是多少?

1 个答案

pzqa31 · 2023年07月01日

嗨,努力学习的PZer你好:


关于这个范围的问题哈,很多同学都有疑问,但是咱们的教材中其实并没有一个解释和说明。不过根据教材的例题和平时的练习可以做一个总结:

经常出现的25%的范围就可以认为是一个较大的范围,当然大于25%就更是了哈,是active的;而根据教材例题,3%的比例认为是小范围,是discretionary的。目前可以总结的是这样的一个规律。


那么在考试中的话,这个范围也一定是一个比较明显的可以区分大小的数字,同时保险起见我们也需要结合题干的其他信息来判断一下是discretionary的还是active的。

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