问题如下图：
选项：
A. 
B. 
C. 
解释：
为什么FI要完全对冲，Equity可以active manage，为什么emerging market对应active manage，波动大 不是应该完全对冲吗？
Shimin_CPA税法主讲、CFA教研 · 2019年03月25日
1）为什么FI要完全对冲，Equity可以active manage
根据历史数据，有这样一个结论：the correlation between foreign-currency returns and foreign-currency asset returns tends to be greater for fixed-income portfolios than for equity portfolios.也就是ρ(Rfx,Rfi)>ρ(Rfx, Requity)，这是因为股票对汇率变化有天然的分散化作用，而债券和汇率都受利率影响所以之间的相关性系数较高。相关性系数高，分散化效果差，风险就越大，所以投资FI要考虑对冲；但是股票本身分散化效果好，所以就不用考虑对冲。
2）为什么emerging market对应active manage
选择投资新兴市场是因为相比成熟的市场，新兴市场的成长空间比较大，但同时就要承担承担这个市场的高风险，因为风险和收益是对应的。这个基金有sizeable exposure在新兴市场，说明它就是特意的去承担这些风险，是积极主动的管理方式，所以就不用对冲。
NO.PZ2016010501000005 问题如下 Kalila Al-Khalili hbeen hirea consultant to a Mile Eastern sovereign wealth fun The funs oversight committee haskeher to examine the funs financicharacteristianrecommenappropriate currenmanagement strategy given the funs Investment PoliStatement. After a thorough stu of the funanits finances, Al-Khalili reaches the following conclusions:■ The funs mante is focuseon the long-term velopment of the country, anthe royfamily (who are very influention the funs oversight committee) are prepareto take a long-term perspective on the funs investments.■The funs strategic asset allocation is tiltetowar equity rather thfixeincome assets.■Both its fixeincome anequity portfolios have a sizeable exposure to emerging market assets.■Currently, about 90% of exchange rate exposures are heealthough the IPS allows a range of hee ratios.■Liquity nee of the funare minimal, sinthe government is running a balancebuet anis unlikely to neeto p into the funin the neterm to cover fiscficits. Ine the expectelifetime of country's large oil reserves hbeen greatly extenrecent scoveries, ansubstantioil royalties are expecteto persist into the future.Baseon her investigation, Al-Khalili woulmost likely recommen A.active currenmanagement. B.a heing ratio closer to 100%. C.a narrow scretionary banfor currenexposures. A is correct.The funha long-term perspective, few immeate liquity nee, ana lower weight in fixeincome thin equities (bonportfolios are typically associatewith hee ratios closer to 100% thequity portfolios). The emerging market exposure woulalso support active management, given these countries' typically higher yiel (carry tra) anoften volatile exchange rates.B is incorrebecause the characteristiof the funanthe beneficiinvestor (in this case, the royfamily) not argue for a conservative currenstrategy.C is incorrebecause a more active currenmanagement strategy woulmore suitable for this fun中文解析题干中描述的这个这个基金的特征包括长期性，倾向于投资股票，在发展国家市场有投资，以及流动性需求小等特点，都告诉我们这只基金没有现在必须要兑付的一些流动性要求呀，或者负债偿付（如果有的话，我们可能需要把敞口尽可能的hee住），相反的考虑到投资发展中国家市场可能会面临较高的汇率变动，我们应该做更加积极主动地管理（A对），而不需要100% hee住（B不对），或者在外汇管理上有更少的自主管理（C不对）。另外，发展中国家一般利率比较高，同时波动比较大。这样就表示投资发展中国家会有很多可能性很多的不确定性（不确定性也就是风险），因为风险与收益并存，于是我们想抓住不确定性中好的可能性来进行获利。所以我们在不断捕捉好的可能性的时候需要的是主动管理，不断根据市场变化，来采取积极主动的措施抓住机会。所以我们在外汇管理中遇到投资发展中国家的情况，默认采取active management。 就是我知道A是对的，但是B为什么是错的。
NO.PZ2016010501000005 问题如下 Kalila Al-Khalili hbeen hirea consultant to a Mile Eastern sovereign wealth fun The funs oversight committee haskeher to examine the funs financicharacteristianrecommenappropriate currenmanagement strategy given the funs Investment PoliStatement. After a thorough stu of the funanits finances, Al-Khalili reaches the following conclusions:■ The funs mante is focuseon the long-term velopment of the country, anthe royfamily (who are very influention the funs oversight committee) are prepareto take a long-term perspective on the funs investments.■The funs strategic asset allocation is tiltetowar equity rather thfixeincome assets.■Both its fixeincome anequity portfolios have a sizeable exposure to emerging market assets.■Currently, about 90% of exchange rate exposures are heealthough the IPS allows a range of hee ratios.■Liquity nee of the funare minimal, sinthe government is running a balancebuet anis unlikely to neeto p into the funin the neterm to cover fiscficits. Ine the expectelifetime of country's large oil reserves hbeen greatly extenrecent scoveries, ansubstantioil royalties are expecteto persist into the future.Baseon her investigation, Al-Khalili woulmost likely recommen A.active currenmanagement. B.a heing ratio closer to 100%. C.a narrow scretionary banfor currenexposures. A is correct.The funha long-term perspective, few immeate liquity nee, ana lower weight in fixeincome thin equities (bonportfolios are typically associatewith hee ratios closer to 100% thequity portfolios). The emerging market exposure woulalso support active management, given these countries' typically higher yiel (carry tra) anoften volatile exchange rates.B is incorrebecause the characteristiof the funanthe beneficiinvestor (in this case, the royfamily) not argue for a conservative currenstrategy.C is incorrebecause a more active currenmanagement strategy woulmore suitable for this fun中文解析题干中描述的这个这个基金的特征包括长期性，倾向于投资股票，在发展国家市场有投资，以及流动性需求小等特点，都告诉我们这只基金没有现在必须要兑付的一些流动性要求呀，或者负债偿付（如果有的话，我们可能需要把敞口尽可能的hee住），相反的考虑到投资发展中国家市场可能会面临较高的汇率变动，我们应该做更加积极主动地管理（A对），而不需要100% hee住（B不对），或者在外汇管理上有更少的自主管理（C不对）。另外，发展中国家一般利率比较高，同时波动比较大。这样就表示投资发展中国家会有很多可能性很多的不确定性（不确定性也就是风险），因为风险与收益并存，于是我们想抓住不确定性中好的可能性来进行获利。所以我们在不断捕捉好的可能性的时候需要的是主动管理，不断根据市场变化，来采取积极主动的措施抓住机会。所以我们在外汇管理中遇到投资发展中国家的情况，默认采取active management。 The funs mante is focuseon the long-term velopment of the country, anthe royfamily (who are very influention the funs oversight committee) are prepareto take a long-term perspective on the funs investments.但题目也说长期目标是保值和支持国家royfamily等等，感觉是 以长期稳定收入安全性保障为主要目标？
NO.PZ2016010501000005 问题如下 Kalila Al-Khalili hbeen hirea consultant to a Mile Eastern sovereign wealth fun The funs oversight committee haskeher to examine the funs financicharacteristianrecommenappropriate currenmanagement strategy given the funs Investment PoliStatement. After a thorough stu of the funanits finances, Al-Khalili reaches the following conclusions:■ The funs mante is focuseon the long-term velopment of the country, anthe royfamily (who are very influention the funs oversight committee) are prepareto take a long-term perspective on the funs investments.■The funs strategic asset allocation is tiltetowar equity rather thfixeincome assets.■Both its fixeincome anequity portfolios have a sizeable exposure to emerging market assets.■Currently, about 90% of exchange rate exposures are heealthough the IPS allows a range of hee ratios.■Liquity nee of the funare minimal, sinthe government is running a balancebuet anis unlikely to neeto p into the funin the neterm to cover fiscficits. Ine the expectelifetime of country's large oil reserves hbeen greatly extenrecent scoveries, ansubstantioil royalties are expecteto persist into the future.Baseon her investigation, Al-Khalili woulmost likely recommen A.active currenmanagement. B.a heing ratio closer to 100%. C.a narrow scretionary banfor currenexposures. A is correct.The funha long-term perspective, few immeate liquity nee, ana lower weight in fixeincome thin equities (bonportfolios are typically associatewith hee ratios closer to 100% thequity portfolios). The emerging market exposure woulalso support active management, given these countries' typically higher yiel (carry tra) anoften volatile exchange rates.B is incorrebecause the characteristiof the funanthe beneficiinvestor (in this case, the royfamily) not argue for a conservative currenstrategy.C is incorrebecause a more active currenmanagement strategy woulmore suitable for this fun中文解析题干中描述的这个这个基金的特征包括长期性，倾向于投资股票，在发展国家市场有投资，以及流动性需求小等特点，都告诉我们这只基金没有现在必须要兑付的一些流动性要求呀，或者负债偿付（如果有的话，我们可能需要把敞口尽可能的hee住），相反的考虑到投资发展中国家市场可能会面临较高的汇率变动，我们应该做更加积极主动地管理（A对），而不需要100% hee住（B不对），或者在外汇管理上有更少的自主管理（C不对）。另外，发展中国家一般利率比较高，同时波动比较大。这样就表示投资发展中国家会有很多可能性很多的不确定性（不确定性也就是风险），因为风险与收益并存，于是我们想抓住不确定性中好的可能性来进行获利。所以我们在不断捕捉好的可能性的时候需要的是主动管理，不断根据市场变化，来采取积极主动的措施抓住机会。所以我们在外汇管理中遇到投资发展中国家的情况，默认采取active management。 请教老师，这题选A完全是因为新兴市场的股票和债券收益可能更高吗？如果从汇率的角度看，长期情况下是有mereverting的特点的，是不需要active management的。是否还有别的原因？另外，也请老师一下为什么不选C？
NO.PZ2016010501000005 问题如下 Kalila Al-Khalili hbeen hirea consultant to a Mile Eastern sovereign wealth fun The funs oversight committee haskeher to examine the funs financicharacteristianrecommenappropriate currenmanagement strategy given the funs Investment PoliStatement. After a thorough stu of the funanits finances, Al-Khalili reaches the following conclusions:■ The funs mante is focuseon the long-term velopment of the country, anthe royfamily (who are very influention the funs oversight committee) are prepareto take a long-term perspective on the funs investments.■The funs strategic asset allocation is tiltetowar equity rather thfixeincome assets.■Both its fixeincome anequity portfolios have a sizeable exposure to emerging market assets.■Currently, about 90% of exchange rate exposures are heealthough the IPS allows a range of hee ratios.■Liquity nee of the funare minimal, sinthe government is running a balancebuet anis unlikely to neeto p into the funin the neterm to cover fiscficits. Ine the expectelifetime of country's large oil reserves hbeen greatly extenrecent scoveries, ansubstantioil royalties are expecteto persist into the future.Baseon her investigation, Al-Khalili woulmost likely recommen A.active currenmanagement. B.a heing ratio closer to 100%. C.a narrow scretionary banfor currenexposures. A is correct.The funha long-term perspective, few immeate liquity nee, ana lower weight in fixeincome thin equities (bonportfolios are typically associatewith hee ratios closer to 100% thequity portfolios). The emerging market exposure woulalso support active management, given these countries' typically higher yiel (carry tra) anoften volatile exchange rates.B is incorrebecause the characteristiof the funanthe beneficiinvestor (in this case, the royfamily) not argue for a conservative currenstrategy.C is incorrebecause a more active currenmanagement strategy woulmore suitable for this fun中文解析题干中描述的这个这个基金的特征包括长期性，倾向于投资股票，在发展国家市场有投资，以及流动性需求小等特点，都告诉我们这只基金没有现在必须要兑付的一些流动性要求呀，或者负债偿付（如果有的话，我们可能需要把敞口尽可能的hee住），相反的考虑到投资发展中国家市场可能会面临较高的汇率变动，我们应该做更加积极主动地管理（A对），而不需要100% hee住（B不对），或者在外汇管理上有更少的自主管理（C不对）。另外，发展中国家一般利率比较高，同时波动比较大。这样就表示投资发展中国家会有很多可能性很多的不确定性（不确定性也就是风险），因为风险与收益并存，于是我们想抓住不确定性中好的可能性来进行获利。所以我们在不断捕捉好的可能性的时候需要的是主动管理，不断根据市场变化，来采取积极主动的措施抓住机会。所以我们在外汇管理中遇到投资发展中国家的情况，默认采取active management。 这道题是active management的原因是不是就单纯是因为是emerging markets, 跟别的characteristics无关?比如\"sinthe government is running a balancebuet anis unlikely to neeto p into the funin the neterm to cover fiscficits.\"，即使说了unlikely neeto p?
NO.PZ2016010501000005 问题如下 Kalila Al-Khalili hbeen hirea consultant to a Mile Eastern sovereign wealth fun The funs oversight committee haskeher to examine the funs financicharacteristianrecommenappropriate currenmanagement strategy given the funs Investment PoliStatement. After a thorough stu of the funanits finances, Al-Khalili reaches the following conclusions:■ The funs mante is focuseon the long-term velopment of the country, anthe royfamily (who are very influention the funs oversight committee) are prepareto take a long-term perspective on the funs investments.■The funs strategic asset allocation is tiltetowar equity rather thfixeincome assets.■Both its fixeincome anequity portfolios have a sizeable exposure to emerging market assets.■Currently, about 90% of exchange rate exposures are heealthough the IPS allows a range of hee ratios.■Liquity nee of the funare minimal, sinthe government is running a balancebuet anis unlikely to neeto p into the funin the neterm to cover fiscficits. Ine the expectelifetime of country's large oil reserves hbeen greatly extenrecent scoveries, ansubstantioil royalties are expecteto persist into the future.Baseon her investigation, Al-Khalili woulmost likely recommen A.active currenmanagement. B.a heing ratio closer to 100%. C.a narrow scretionary banfor currenexposures. A is correct.The funha long-term perspective, few immeate liquity nee, ana lower weight in fixeincome thin equities (bonportfolios are typically associatewith hee ratios closer to 100% thequity portfolios). The emerging market exposure woulalso support active management, given these countries' typically higher yiel (carry tra) anoften volatile exchange rates.B is incorrebecause the characteristiof the funanthe beneficiinvestor (in this case, the royfamily) not argue for a conservative currenstrategy.C is incorrebecause a more active currenmanagement strategy woulmore suitable for this fun中文解析题干中描述的这个这个基金的特征包括长期性，倾向于投资股票，在发展国家市场有投资，以及流动性需求小等特点，都告诉我们这只基金没有现在必须要兑付的一些流动性要求呀，或者负债偿付（如果有的话，我们可能需要把敞口尽可能的hee住），相反的考虑到投资发展中国家市场可能会面临较高的汇率变动，我们应该做更加积极主动地管理（A对），而不需要100% hee住（B不对），或者在外汇管理上有更少的自主管理（C不对）。另外，发展中国家一般利率比较高，同时波动比较大。这样就表示投资发展中国家会有很多可能性很多的不确定性（不确定性也就是风险），因为风险与收益并存，于是我们想抓住不确定性中好的可能性来进行获利。所以我们在不断捕捉好的可能性的时候需要的是主动管理，不断根据市场变化，来采取积极主动的措施抓住机会。所以我们在外汇管理中遇到投资发展中国家的情况，默认采取active management。 老师好，我可能有个知识点搞混淆了，想确认下。hee比例越高，是代表越倾向于passive是吗？我看了下大家的问题和回答，是这么理解的题目中的背景，其实暗示了可以选择更激进更active的策略，所以原先90%的hee ratio显得太高了、需要调低，是这么理解是吗？