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Liu 007 · 2023年07月24日

No.PZ2016010501000005 (选择题),问什么不是Active?

No.PZ2016010501000005 (选择题)

来源: 原版书

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:



老师,这道题只有第3个条件,支持Active Management。

其他条件,都符合老师在正课课件(墨迹版)第81页的总结,即不hedge.

所以为什么还Active 管理?

是只要看到有发展中国家,不管其他条件如何,都默认选Active manage吗?

1 个答案
已采纳答案

pzqa31 · 2023年07月24日

嗨,爱思考的PZer你好:


我理解passive currency management就是不承担汇率变化的风险,与之对应的就是hedge 汇率风险。

反之,ACTIVE的管理就是承担汇率变化的风险,所以对应的就是not hedge.

这一题从题目条件来看,长期投资、流动性需求少、头寸主要是equity,都说明不需要hedge,也就是承担汇率风险,为active management.


投资发展中国家的时候,更多地需要进行主动管理,而不是简单地进行hedge。

因为发展中国家一般利率比较高,同时波动比较大。这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),同时因为风险与收益并存,于是我们就想抓住不确定性中好的可能性来进行获利。所以我们需要进行主动管理来不断捕捉好的可能性以获利,不断根据市场变化,来采取积极主动的措施抓住机会。如果hedge住了,就没有必要去投资发展中国家了。所以我们在外汇管理中遇到投资发展中国家的情况,就默认需要采取active management。

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Liu 007 · 2023年07月24日

感谢老师!明白了,是我没有看仔细结论,谢谢啦

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