NO.PZ202212300200001502
问题如下：
Darden meets with Bhatt and
learns that Bhatt will be moving back to his home country of India next month
to resume working as a commodity trader. Bhatt is concerned about a possible US
recession. His investment policy statement (IPS) allows for flexibility in
managing currency risk. Overall returns can be enhanced by capturing
opportunities between the US dollar and the Indian rupee (INR) within a range
of plus or minus 25% from the neutral position using forward contracts on the
currency pair. C&M has a currency overlay team that can appropriately
manage currency risk for Bhatt’s portfolio.
Following
analysis of Indian economic fundamentals, C&M’s currency team expects
continued stability in interest rate and inflation rate differentials between
the United States and India. C&M’s currency team strongly believes the US
dollar will appreciate relative to the Indian rupee.
C&M would like
to exploit the perceived alpha opportunity using forward contracts on the
USD10,000,000 Bhatt portfolio.
Recommend the trading strategy
C&M should implement. Justify your
response.
选项：
解释：
Correct Answer:
Given C&M’s
research conclusion and the IPS constraints, the currency team should
under-hedge Bhatt’s portfolio by selling the US dollar forward against the
Indian rupee in a forward contract (or contracts) at no less than a 75% hedge
ratio of the portfolio’s USD10,000,000 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 US dollar will
appreciate against the Indian rupee while maintaining compliance with the IPS.
Since the Indian
rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would
largely eliminate any alpha opportunity. However, a hedge ratio greater than
75% but less than 100% (as dictated by the plus or minus 25% versus neutral IPS
constraint) provides the opportunity to capture currency return in the expected
US dollar appreciation against the Indian rupee.
C&M should partially hedge the currency risk in order to gain the appreciation of USD.
It is said that C&M’s currency team expects continued stability in interest rate and inflation rate differentials between the United States and India and C&M’s currency team strongly believes the US dollar will appreciate relative to the Indian rupee. If C&M fully hedge the USD by selling forward contracts of USD10,000,000, the opportunity cost of appreciation of USD would be generated.
So the most appropriate way to perceived alpha opportunity is partially hedge the USD currency exposure.
我没有说出来75%的这个数字可以拿分吗？
