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卢天悦 · 2023年07月29日

没有market conviction为什么不是passive呢

NO.PZ2022123002000016

问题如下:

Wilson Manufacturing (Wilson) is an Australian institutional client of Ethan Lee, who manages a variety of portfolios across asset classes. Wilson prefers a neutral benchmark over a rules-based approach, with its investment policy statement (IPS) requiring a currency hedge ratio between 97% and 103% to protect against currency risk. Lee has assessed various currency management strategies for Wilson’s US dollar-denominated fixed-income portfolio to optimally locate it along the currency risk spectrum. The portfolio is currently in its flat natural neutral position because of Lee’s lack of market conviction.

Identify the most likely approach for Lee to optimally locate Wilson’s portfolio on the currency risk spectrum, consistent with the IPS. Justify your response with two reasons supporting the approach.


选项:

解释:

Correct Answer:


Passive hedging is not likely because the IPS allows the 3% band around the neutral position. In addition, passive hedging is a rules-based approach, which is contrary to Wilson’s preference.

Active currency management is not likely because the 3% band around the neutral position is too limited for that approach. In many cases, the difference between discretionary hedging and active currency management is more of emphasis than degree. The primary duty of the discretionary hedger is to protect the portfolio from currency risk. Active currency management is supposed to take currency risks and manage them for profit. Leaving actual portfolio exposures near zero for extended periods is typically not a viable option.

Currency overlay is not likely because the 3% band is too small to indicate active currency management in a currency overlay program. In addition, currency overlay programs are often conducted by external, FX-specialized sub-advisers to a portfolio, whereas Lee is a generalist managing a variety of portfolios across asset classes. Finally, currency overlay allows for taking directional views on future currency movements, and a lack of market conviction is noted here.

如题

是不是passive的hedge ratio一定是0,然后当前lack market conviction不代表之后有了不会调hedge ratio?

1 个答案
已采纳答案

pzqa31 · 2023年07月29日

嗨,努力学习的PZer你好:


不是,何老师在课上有提到,hedge或者不hedge,passive或active的管理,是两个独立的概念,passive的目的是跟随市场走势,也就是尽量减小和benchmark的差异,active则是要突出个人观点,而是否hedge是要看怎样服务于他们各自的目标。


这道题是这样的:

IPS允许有相比于中性头寸上下3%的波动幅度,因此不是被动管理的方法。


不是主动管理的方法,因为3%的波动区间对于这种方法来说太有限了。在许多情况下,可自由决定的对冲方法和主动管理的方法之间的区别更多的是重点而不是程度。


可自由决定的套期保值者的主要职责是保护投资组合免受货币风险的影响。


而主动管理应该是承担货币风险,并以盈利为目的进行管理,因此将实际投资组合的风险敞口长期保持在接近于零的水平,通常不是一个可行的选择。


不是currency overlay的方法,因为在货币覆盖程序中,3%的幅度太小,不足以表示积极的货币管理。此外,货币覆盖程序通常是由外部的、外汇专业的投资组合次级顾问进行的,而Lee是一个多面手,管理各种资产类别的各种投资组合。最后,currency overlay允许对未来货币走势采取方向性看法,这里指出缺乏市场信念。

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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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NO.PZ2022123002000016 问题如下 Wilson Manufacturing(Wilson) is Australiinstitutionclient of EthLee, who manages a varietyof portfolios across asset classes. Wilson prefers a neutrbenchmark over arules-baseapproach, with its investment polistatement (IPS) requiring acurrenhee ratio between 97% an103% to proteagainst currenrisk. Leehassessevarious currenmanagement strategies for Wilson’s USllar-nominatefixeincome portfolio to optimally locate it along thecurrenrisk spectrum. The portfolio is currently in its flnaturneutralposition because of Lee’s laof market conviction.Intify the most likelyapproafor Lee to optimally locate Wilson’s portfolio on the currenriskspectrum, consistent with the IPS. Justify your response with two reasonssupporting the approach. CorreAnswer:Passive heing isnot likely because the IPS allows the 3% banarounthe neutrposition. Inaition, passive heing is a rules-baseapproach, whiis contrary toWilson’s preference.Active currencymanagement is not likely because the 3% banarounthe neutrposition is toolimitefor thapproach. In many cases, the fferenbetween scretionaryheing anactive currenmanagement is more of emphasis thgree. Theprimary ty of the scretionary heer is to protethe portfolio fromcurrenrisk. Active currenmanagement is supposeto take currenrisksanmanage them for profit. Leaving actuportfolio exposures nezero forextenperio is typically not a viable option.Currenoverlayis not likely because the 3% banis too small to incate active currencymanagement in a currenoverlprogram. In aition, currenoverlayprograms are often concteexternal, FX-specializesub-aisers to aportfolio, whereLee is a generalist managing a variety of portfolios acrossasset classes. Finally, currenoverlallows for taking rectionviews onfuture currenmovements, ana laof market conviction is notehere. neutrposition相当于full hee那neutrbenchmark为什么和Wilson的preference冲突了呢?和rule-baseapproach有什么区别?

2023-08-10 13:13 2 · 回答