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考拉 · 2024年01月08日

把外汇管理职能外包出去为什么还有前提条件呢？

  1. CFA III
  2. Derivative

NO.PZ2022123002000010

问题如下：

Dias has asked whether it would be appropriate for him to hedge his foreign currency exposure. Campos raises the issue with Traldi and Peixaria. Traldi responds, "In the short run, if the correlation between foreign asset returns and foreign currency returns is negative, then there may be a need to hedge all foreign currency exposure. Alternatively, one could implement a currency overlay program in which the currency exposure is fully hedged and currency alpha is generated separately. This currency overlay strategy will only be successful in adding value to the portfolio if the currency alpha has a high correlation with Brazilian equities and corporate bonds."

In her response regarding hedging foreign currency exposure in Dias's portfolio, Traldi is most likely:

选项：

A.

correct about the correlations and the currency overlay program

B.

incorrect about the correlations, but correct about the currency overlay program

C.

incorrect about the correlations and the currency overlay program

解释：

Correct Answer: C

Traldi is incorrect about the correlations and the currency overlay program. In the short run, if the correlation between foreign currency asset returns and foreign currency returns is negative, then there may be no need to hedge all foreign currency exposure because some currency exposure is desirable from a portfolio diversification perspective. Regarding the currency overlay program, it will add value to the portfolio only if the currency alpha has a low correlation with other asset classes in the portfolio (i.e., Brazilian equities and corporate bonds).

Regarding the currency overlay program, it will add value to the portfolio only if the currency alpha has a low correlation with other asset classes in the portfolio (i.e., Brazilian equities and corporate bonds).【这半句话不明白，老师请解释一下？】

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pzqa31 · 2024年01月08日

嗨，努力学习的PZer你好：


就是外汇资产虽然外包出去了，但是本质上还是公司的资产，所以要和自营的股票、债券保持low correlation才可以做到更好的分散化，不是说外包的前提是这个，这里用only if是有些绝对了。

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