开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

西红柿面 · 2025年03月26日

请问我这样回答可以吗

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000108

问题如下：

Kamala Gupta, a currency management consultant, is hired to evaluate the performance of two portfolios. Portfolio A and Portfolio B are managed in the United States and performance is measured in terms of the US dollar (USD). Portfolio A consists of British pound (GBP) denominated bonds and Portfolio B holds euro (EUR) denominated bonds.

Gupta calculates a 19.5% domestic-currency return for Portfolio A and 0% domestic-currency return for Portfolio B.


The fund manager of Portfolio B believes that setting up a full currency hedge requires a simple matching of the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract.

Explain how the hedge, as described by the fund manager, will eventually expose the portfolio to currency risk.

选项：

解释：

In practice, matching the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract is likely to be ineffective over time because the market value of foreign-currency assets will change with market conditions. A static hedge (i.e., an unchanging hedge) will tend to accumulate unwanted currency exposures as the value of the foreign-currency assets change. This will result in 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 (resulting in currency risk). For this reason, the portfolio manager will generally need to implement a dynamic hedge by rebalancing the portfolio periodically.

中文解析：

在实务中，使用远期合约进行对冲时，约定的合约规模是期初时投资组合的规模，但这随着时间的推移将会变得无效，因为需要对冲的外币资产的市场价值是会随着市场条件而变化的，因此对冲的规模也应该随之变化。

静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因，投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。

The fund manager is doing a static hedge and overlook the risk of change of size of position. The fund manager of Portfolio B believes that setting up a full currency hedge requires a simple matching of the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract. By only hedge amount of current market value, if the market value changed during the hedging period, exposure of hedging would be increase. So we need to use dynamic hedge to adjust the market value exposure.

添加评论
1 个答案

李坏_品职助教 · 2025年03月26日

嗨，努力学习的PZer你好：


overlook the risk of change of size of position可以直接写成overlook the risk of changing position size.


By only hedge amount of current market value, if the market value changed during the hedging period, exposure of hedging would be increase.


这个改为：However, if market value changes during the hedging period, there will be a mismatch between the market value of portfolio and forward contract.



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

  • 1

    回答

  • 0

    关注

  • 4

    浏览
相关问题

NO.PZ201601050100000108 问题如下 The funmanager of Portfolio B believesthsetting up a full currenhee requires a simple matching of the currentmarket value of the foreign-currenexposure in the portfolio with equalanoffsetting position in a forwarcontract. Explain how the hee, scribethe funmanager, will eventually expose the portfolio to currenrisk. In practice, matching the current market value of the foreign-currenexposure in the portfolio with equanoffsetting position in a forwarcontrais likely to ineffective over time because the market value of foreign-currenassets will change with market contions. A static hee (i.e., unchanging hee) will tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This will result in a mismatbetween the market value of the foreign-currenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee (resulting in currenrisk). For this reason, the portfolio manager will generally neeto implement a namic hee rebalancing the portfolio periocally.中文解析在实务中，使用远期合约进行对冲时，约定的合约规模是期初时投资组合的规模，但这随着时间的推移将会变得无效，因为需要对冲的外币资产的市场价值是会随着市场条件而变化的，因此对冲的规模也应该随之变化。静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因，投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。 我回答是 we neeuse fferent hee instruments fferent time 或者 we neeuse namic heing stratge

2024-09-20 11:10 1 · 回答

NO.PZ201601050100000108 问题如下 The funmanager of Portfolio B believesthsetting up a full currenhee requires a simple matching of the currentmarket value of the foreign-currenexposure in the portfolio with equalanoffsetting position in a forwarcontract. Explain how the hee, scribethe funmanager, will eventually expose the portfolio to currenrisk. In practice, matching the current market value of the foreign-currenexposure in the portfolio with equanoffsetting position in a forwarcontrais likely to ineffective over time because the market value of foreign-currenassets will change with market contions. A static hee (i.e., unchanging hee) will tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This will result in a mismatbetween the market value of the foreign-currenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee (resulting in currenrisk). For this reason, the portfolio manager will generally neeto implement a namic hee rebalancing the portfolio periocally.中文解析在实务中，使用远期合约进行对冲时，约定的合约规模是期初时投资组合的规模，但这随着时间的推移将会变得无效，因为需要对冲的外币资产的市场价值是会随着市场条件而变化的，因此对冲的规模也应该随之变化。静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因，投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。 因为我在答题时没有意识到fully hee=static hee=static hee会造成mismatch从而导致currenrisk，而是直接从题目\"什么会最终导致currenrisk\"。于是思考做hee就会有方向做反的风险——我理解也是mismatch的一种形式，以及题干中用的是forwar相较于futures是会有counterparty risk，所以我的回答如下，请问是否可以？1.exchange rate moves to the opposite rection against expectation mcause losses.2.counterparty risk full currenhee is implementeforwar it's OTC tra whiesn't require MTM valuation.

2023-08-30 11:30 1 · 回答

NO.PZ201601050100000108 问题如下 The funmanager of Portfolio B believesthsetting up a full currenhee requires a simple matching of the currentmarket value of the foreign-currenexposure in the portfolio with equalanoffsetting position in a forwarcontract. Explain how the hee, scribethe funmanager, will eventually expose the portfolio to currenrisk. In practice, matching the current market value of the foreign-currenexposure in the portfolio with equanoffsetting position in a forwarcontrais likely to ineffective over time because the market value of foreign-currenassets will change with market contions. A static hee (i.e., unchanging hee) will tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This will result in a mismatbetween the market value of the foreign-currenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee (resulting in currenrisk). For this reason, the portfolio manager will generally neeto implement a namic hee rebalancing the portfolio periocally.中文解析在实务中，使用远期合约进行对冲时，约定的合约规模是期初时投资组合的规模，但这随着时间的推移将会变得无效，因为需要对冲的外币资产的市场价值是会随着市场条件而变化的，因此对冲的规模也应该随之变化。静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因，投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。 the currenexposure is namic e to the changing exchange rate anasset returns of foreign countries, thus a rebalancing process is neein the constant heing strategy. In the situation where currenchanges anrisk is not completely hee currenrisk exposure will increase.

2023-08-12 15:54 1 · 回答

NO.PZ201601050100000108 问题如下 The funmanager of Portfolio B believesthsetting up a full currenhee requires a simple matching of the currentmarket value of the foreign-currenexposure in the portfolio with equalanoffsetting position in a forwarcontract. Explain how the hee, scribethe funmanager, will eventually expose the portfolio to currenrisk. In practice, matching the current market value of the foreign-currenexposure in the portfolio with equanoffsetting position in a forwarcontrais likely to ineffective over time because the market value of foreign-currenassets will change with market contions. A static hee (i.e., unchanging hee) will tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This will result in a mismatbetween the market value of the foreign-currenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee (resulting in currenrisk). For this reason, the portfolio manager will generally neeto implement a namic hee rebalancing the portfolio periocally.中文解析在实务中，使用远期合约进行对冲时，约定的合约规模是期初时投资组合的规模，但这随着时间的推移将会变得无效，因为需要对冲的外币资产的市场价值是会随着市场条件而变化的，因此对冲的规模也应该随之变化。静态套期保值(即不变套期保值)往往会随着外币资产价值的变化而累积不必要的货币风险。这将导致外币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间的错配(导致货币风险)。由于这个原因，投资组合经理通常需要通过定期重新平衡投资组合来实现动态对冲。 可不可以理解成1）不能单单买一份 Fo(N)的长期合约来hee，因为在起始点很难预估终点时的市场价格。这属于静态对冲，会产生错配。2）因此要买多分rolling的短期合约，不断靠近最终的市场价格。比如 Fo(1)+F1(2)+F2(3)。这属于动态对冲，可以解决错配的问题。

2023-06-16 23:37 1 · 回答