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卢天悦 · 2023年07月29日

直接说short 7.5 million forward on USD可以吗,还是必须得是一个区间才行

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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.

如题

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pzqa31 · 2023年07月29日

嗨,爱思考的PZer你好:


仅就这道题,我认为应该还是写一个区间,因为并没有给更详细的条件去计算,只是根据IPS来判断。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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