NO.PZ2016010501000005
问题如下:
Kalila Al-Khalili has been hired as a consultant to a Middle Eastern sovereign wealth fund. The fund‘s oversight committee has asked her to examine the fund‘s financial characteristics and recommend an appropriate currency management strategy given the fund's Investment Policy Statement. After a thorough study of the fund and its finances, Al-Khalili reaches the following conclusions:
■ The fund's mandate is focused on the long-term development of the country, and the royal family (who are very influential on the fund's oversight committee) are prepared to take a long-term perspective on the fund's investments.
■The fund's strategic asset allocation is tilted towards equity rather than fixed-income assets.
■Both its fixed-income and equity portfolios have a sizeable exposure to emerging market assets.
■Currently, about 90% of exchange rate exposures are hedged although the IPS allows a range of hedge ratios.
■Liquidity needs of the fund are minimal, since the government is running a balanced budget and is unlikely to need to dip into the fund in the near term to cover fiscal deficits. Indeed, the expected lifetime of country's large oil reserves has been greatly extended by recent discoveries, and substantial oil royalties are expected to persist into the future.
Based on her investigation, Al-Khalili would most likely recommend:
选项:
A.active currency management.
B.a hedging ratio closer to 100%.
C.a narrow discretionary band for currency exposures.
解释:
A is correct.
The fund has a long-term perspective, few immediate liquidity needs, and a lower weight in fixed income that in equities (bond portfolios are typically associated with hedge ratios closer to 100% than equity portfolios). The emerging market exposure would also support active management, given these countries' typically higher yields (carry trade) and often volatile exchange rates.
B is incorrect because the characteristics of the fund and the beneficial investor (in this case, the royal family) do not argue for a conservative currency strategy.
C is incorrect because a more active currency management strategy would be more suitable for this fund.
老师好!Currency management program formulation课件中说,如果投资者倾向于short term、bond exposure的话需要hedge。题目中的情况是皇室是长期投资,债券比例很小。然而答案要选active management,为什么不选不hedge?