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梦梦0708 · 2021年06月24日

long还是short forward

  1. CFA III
  2. Asset Allocation

NO.PZ2018111501000021

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。

是不是因为long equity position in CHF和AUD ，所以才是short forward

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1 个答案

Hertz_品职助教 · 2021年06月24日

嗨，爱思考的PZer你好：


同学你好

对的~

题干第一句话交代了持有澳大利亚和瑞士的股票头寸，即持有外币资产，因此担心外币贬值，所以需要short forward on外币（AUD/CHF），或者表述为short AUD/CHF forward。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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