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SophieZ · 2023年07月25日

INR 贬值，USD升值，那么FX(USD/INR )就是下降，如果under hedge,那么FX(USD/INR )的下降风

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202212300200001502

问题如下：

Following analysis of Indian economic fundamentals, C&M’s currency team expects continued stability in interest rate and inflation rate differentials between the United States and India. C&M’s currency team strongly believes the US dollar will appreciate relative to the Indian rupee.

C&M would like to exploit the perceived alpha opportunity using forward contracts on the USD10,000,000 Bhatt portfolio.

Recommend the trading strategy C&M should implement. Justify your response.

选项：

解释：

Correct Answer:

Given C&M’s research conclusion and the IPS constraints, the currency team should under-hedge Bhatt’s portfolio by selling the US dollar forward against the Indian rupee in a forward contract (or contracts) at no less than a 75% hedge ratio of the portfolio’s USD10,000,000 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 US dollar will appreciate against the Indian rupee while maintaining compliance with the IPS.

Since the Indian rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would largely eliminate any alpha opportunity. However, a hedge ratio greater than 75% but less than 100% (as dictated by the plus or minus 25% versus neutral IPS constraint) provides the opportunity to capture currency return in the expected US dollar appreciation against the Indian rupee.

INR 贬值，USD升值，那么FX(USD/INR )就是下降，如果under hedge,那么FX(USD/INR )的下降风险则没有全部对冲，不太明白alpha在这个环节是如何赚取的？

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1 个答案

pzqa31 · 2023年07月25日

嗨，从没放弃的小努力你好：


这道题的逻辑是：本来是担心美元贬值的，所以需要short forward on美元做对冲（注意这个说法默认是百分百对冲的），然后现在预期美元会升值了，所以对我们有利，因此可以少hedge一点。然后去看IPS的要求，IPS允许上下25%的浮动，因此就有了只hedge75%的说法。


Since the Indian rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would largely eliminate any alpha opportunity. 这里的意思是因为预计INR要贬值了，也就是USD要升值了，此时如果100%hedge就不能获得美元升值的好处了，所以underhedge，留一部分外汇敞口，一但美元升值了，还可以享受外币升值的好处，将来可以转换成更多的INR。


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