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Feeling · 2023年08月30日

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NO.PZ201601050100001402

问题如下:

Lee and Wilson recently completed the annual portfolio review and determined the IPS is too short- term focused and excessively risk averse. Accordingly, the IPS is revised and foreign currency is introduced as a separate asset class. Lee hires an external foreign exchange sub-adviser to implement a currency overlay program, emphasizing that it is important to structure the program so that the currency overlay is allowed in terms of strategic portfolio positioning.

Discuss a key attribute of the currency overlay that would increase the likelihood it would be allowed in terms of strategic portfolio positioning

选项:

解释:

The IPS revision allows for a more proactive currency risk approach in the portfolio because it was determined Wilson was too short-term focused and risk averse. Lee should structure the currency overlay so that it is as uncorrelated as possible with other asset or alpha-generation programs in the portfolio. By introducing foreign currencies as a separate asset class, the more currency overlay is expected to generate alpha that is uncorrelated with the other programs in the portfolio, the more likely it is to be allowed in terms of strategic portfolio positioning.

中文解析:

IPS允许在投资组合中采用更积极的货币风险方法,因为它确定Wilson过于关注短期和规避风险。Lee应该构建currency overlay,使其与投资组合中的其他资产相关性尽可能降低。把外汇作为一个单独的资产类别,它和组合中其他资产相关性越低,越有望在单独管理下产生更多的alpha,也就越有可能在投资组合的战略定位方面被允许。

请问这是补充的知识点吗险。书上没有说使用currency overlay,就要使其与投资组合中的其他资产相关性尽可能降低呀。

1 个答案
已采纳答案

pzqa31 · 2023年08月31日

嗨,从没放弃的小努力你好:


Currency overlay是把外汇管理外包出去,将外汇当做一种单独的资产类型来管理,从单独管理的资产中获取alpha。外包主要原因是因为内部投资经理不擅长做外汇管理,外包机构可以按照甲方要求尽量做到分散化,降低与甲方投资组合中资产的相关性的。


当成结论记住吧。

----------------------------------------------
努力的时光都是限量版,加油!

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