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cichengduoji · 2018年12月05日

问一道题：NO.PZ201601050100000105 第5小题

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

问题如下图：

    

请问一下，是否需要考虑hedge/not的问题？比如recommend to partially hedge，which is less costly than a full hedge. Also, it is possible to benefit from favorable currency rate movements by a partial hedge, thus, it has the potential to enhance currency alpha further.

但，问题是，currency overlay separates currency alpha & hedge mandates，如答案所言，alpha is managed externally，就不属于fund manager的concern了，对吗？所以最后recommendation不需要考虑hedge与否的问题？

另外，fund manager internally manages currency beta，这里是指manages risk alone吗？为什么不是整个risk & return of currency 呢？基础课里有说到，currency overlay treats currency as an independent asset class，那是不是可以理解为，risk & return as a whole 被separate出来，单独管理呢？

谢谢！

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3 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年12月06日

Q1：Currency overlay 有没有beta看外包的这家公司投资策略是什么，如果它选择5%偏离基准，那是有beta的，如果它跟对冲基金一样用了market neutral strategy,就没有beta了。

Q2：买指数不用频繁rebalance，但是如果自己构建指数基金（比如SP500有哪些股票，我跟着买一样的比例）是需要频繁rebalance，权益部分还会讲到。

Q3：没有补充啦，这道题是currency overlay比较难的考法了。

cichengduoji · 2018年12月06日

  • 谢谢Shimin！由于字数限制，上面的追问编辑的有点问题，请忽略！不好意思，带来了麻烦。。 麻烦移步下面的问题。。再次感谢您！
  • Currency overlay (external management of currency alpha & beta - Q1： 应该是包含beta的吧？）：首先作为active management的一种，seek for alpha （incremental return），对应的risk tolerance就是risk-seeking；其次就是定义，outsource to outside sub-adviser to manage currency separately from mandates (i.e. to treat currency as an independent asset class; separate risk & return as a whole)
  • Internal management of currency beta：long/ follow foreign exchange index（Q2：will incur frequent rebalancing and higher costs？），passive investment，risk-averse，只关注risk，目的是hedge risk。

  • Q3: 以上说法，有没有问题？有没有遗漏的点？

  • 谢谢您！

Shimin_CPA税法主讲、CFA教研 · 2018年12月05日

题干已经明确了要fully hedge,所以肯定要hedge

对，如果外包出去了，基金经理就不用操心外包出去的这一块了。

internally manages currency beta 指的是内部买一个外汇交易指数，求稳，是passive investment。 外包出去是让外包公司积极主动管理外汇，求收益，这一块当作单独的资产， risk & return as a whole 被separate出来，单独管理 。

 

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