forward和futures的流动性，谁比较好？

问题如下：

Rosario Delgado is an investment manager in Spain. Delgado’s client, Max Rivera, seeks assistance with his well-diversified investment portfolio denominated in US dollars.

Rivera’s reporting currency is the euro, and he is concerned about his US dollar exposure. His portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is considering a monthly hedge using either a one-month forward contract or one-month futures contract.

Determine which type of hedge instrument combination is most appropriate for Rivera’s situation. Justify your selection.

选项：

解释：

Correct Answer:

The hedge instrument combination most appropriate for Rivera’s portfolio is a dynamic forward hedge for the reasons noted below.

First, a dynamic hedge is most appropriate here. A static hedge (i.e., unchanging hedge) will avoid transaction costs but will also tend to accumulate unwanted currency exposures as the value of the foreign-currency assets change. This characteristic will cause a mismatch between the market value of the foreign-currency asset portfolio and the nominal size of the forward contract used for the currency hedge; this is pure currency risk. Given this potential mismatch and because both Rivera and Delgado are risk averse, Delgado should implement a dynamic hedge by rebalancing the portfolio at least on a monthly basis.

Delgado must assess the cost–benefit trade-offs of how frequently to dynamically rebalance the hedge. This depends on a variety of factors (manager risk aversion, market view, IPS guidelines). The higher the degree of risk aversion, the more frequently the hedge is likely to be rebalanced back to the “neutral” hedge ratio.

A forward contract is more suitable because in comparison to a futures contract, a forward contract is more flexible in terms of currency pair, settlement date, and transaction amount. Forward contracts are also simpler than futures contracts from an administrative standpoint owing to the absence of margin requirements, reducing portfolio management expense. Finally, forward contracts are more liquid than futures for trading in large sizes because the daily trade volume for OTC currency forward contracts dwarfs those for exchange-traded futures contracts.