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豆沙 · 2024年10月23日

题目条件太多都没用？

  1. CFA III
  2. Derivative

NO.PZ2022123002000013

问题如下：

HNW Worldwide Inc. (HNW) isa wealth management company located in Chicago that specializes in very-high-and ultra-high-net worth clients. Pierre Fournier, a currency specialist at thecompany, is reviewing the file of a long-time client, Alex Testa, an American.Testa is a former engineer in the plastics industry who has been verysuccessful in identifying potential takeover candidates during theconsolidation of the plastics and packaging industry that has been occurringsince about 2001.

As USopportunities declined in the plastics industry, Testa began to considerforeign investments. In the fall of 2008, he acquired a position in a SouthAfrican plastics processor. Although the foreign currency return on theinvestment was impressive, his domestic return was substantially negativebecause of the foreign currency change against the US dollar.

Testa’sassociation with HNW began in 2009 as he was about to undertake a position in aSpanish packaging company. Fournier used Testa’s description of his investmentprocess to develop an investment policy statement (IPS) for him, which includedthe following objectives and constraints:

  • Testa fully believed in his investment process, which was to be the primary focus in generating investment returns.
  • Testa was not overly risk averse.
  • Only the major currencies against the US dollar were likely to be used for the next several years.
  • Currency exposure would usually not extend beyond a six-month period.
  • Negative currency moves were to be rebalanced monthly if they exceeded 3% of the initial exposure.
  • Currency options could be used selectively—only if a strong market view was held when rebalancing a hedged position that had already proved profitable.
  • The anticipated positions would not have any associated income or liquidity requirements.
  • The cost of any hedging strategies used should be minimized and not materially affect the otherwise unhedged asset return.
In regard to theanticipated currency movements related to the Spanish packaging companyinvestment, Fournier told Testa that HNW was forecasting that the euro waslikely to appreciate against the US dollar in the next six months.

Interms of the objectives and constraints that were incorporated into Testa’s IPS,the one that best explains the initial euro exposure of the Spanish investmentin 2009 is the one related to his:

选项：

A.

risk aversion

B.

return objective

C.

liquidity constraint

解释：

Correct Answer: B

B is correct. Themain goal of Testa’s investment program is the realization of returns based onhis perceived superior ability to discover merger and acquisition targets. The positionwas fully hedged even though both he and his adviser believed that the euro waslikely to appreciate over the investment horizon; there was no attempt toexploit that belief either with futures or options (although the use of optionswas restricted to strong market views at the time of rebalancing of an alreadywinning position).

A is incorrect.Testa is not overly risk averse; his main focus is on the return generated fromhis investment process.

C is incorrect.Testa’s investment program did not impose any liquidity or income needs on theposition.

没看懂这个题目在考什么？中间那么多条件多没用吗？老师能详细解释一下吗

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1 个答案

pzqa35 · 2024年10月25日

嗨，努力学习的PZer你好：


这道题目确实本身出的不太好，我们放在这里，主要是为了让同学们理解影响hedge的因素，也就是这些给定的条件，到底是选择hedge还是不hedge。

这个题目其实问的是哪一项说法和他的IPS表述不一致，因为他不是risk aversion且他没有流动性的限制，所以A和C本身的说法就是错误的。B选项中，想要高return所以不hedge，是可以满足他的return目标的。

这道题我们重点掌握什么样的因素影响hedge即可，题目本身并不好，所以掌握知识点即可。

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加油吧，让我们一起遇见更好的自己！

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2023-08-15 07:09 2 · 回答