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MarinaC · 2020年06月06日

问一道题：NO.PZ2018111501000021

  1. CFA III
  2. Derivative

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

为什么不是基于current spot rate 和forward rate比较？ 看是Forward Premium还是discount 判断

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1 个答案

xiaowan_品职助教 · 2020年06月07日

嗨，从没放弃的小努力你好：


同学你好，

forward是对冲工具，目的是按照投资者的市场观点（forecast的价格）来使用对冲工具，所以要对比forward rates和forecast spot rates，而用current spot rate 和forward rate对比只能看出现在时间点forward市场结构，达不到匹配市场观点的目的。


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


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