NO.PZ2018113001000085
问题如下：
Bevis is an adviser to WT, a fund
management firm. WT's clients are all high-net-worth clients in the U.S. Bevis
manages the account for Clare, one of his clients, which invests mainly in
Canada . The client’s IPS gives currency management a free band of plus
or minus 30% from a neutral benchmark. Bevis uses forward contracts to manage
clients' foreign exchange exposure
Now WT's currency management department expects the Canadian dollar to appreciate against the U.S. dollar.
Recommend the hedging strategy Bevis should implement based on the forecast。
选项：
解释：
Answer：
Bevis should under-hedge Clare’s portfolio by selling the forward contract on USD/CAD at a 70% hedge ratio of the portfolio’s 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 Canadian dollar will appreciate against the US dollar while maintaining compliance with the IPS.
中文解析：
Bevis的客户Clare是个美国人，但主要投资在加拿大。客户的IPS允许外汇管理有一定的自由范围：中性基准上下30%的浮动。
Bevis利用远期合约管理客户的外汇风险敞口。现在预测加拿大元相比于美元要升值，问基于这个预测，Bevis应该为客户做怎样的对冲策略。
持有加拿大的外币资产，因而担心加拿大元贬值，所以应该short forward on USD/CAD，并且远期合约的规模等于投资资产的金额，以实现完全对冲。
现在加拿大元预测要升值，则该对冲比率应该下调，下调的最低水平是组合价值的70%（100%-30%=70%）。这样就可以在符合IPS的要求下，获得加拿大元增值带来的好处了。
什么是under-hedge和hedge ratio？
