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昆汀的低俗小说 · 2021年07月06日

这道题可以用roll yield的角度来思考吗？

  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。

AUD是positive roll yield，对hedge更有利所以更倾向于做对冲 => overhedge; CHF则相反

可以这样来思考这道题吗？

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1 个答案

Hertz_品职助教 · 2021年07月07日

嗨，爱思考的PZer你好：


同学你好~

用roll yield的角度来理解这个问题是有偏颇的哈

1.     先说一下正确的思路：

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。

2.     为什么不能用roll yield角度呢？

Roll yield可以理解为签订forward合约给我们带来的好处，他只是考虑用forward合约作hedge后这一个角度，没有比较不hedge的情况下是否更加有利。

比如以AUD为例，假设six-month forecast spot rate是3.0000.这时候再看一下，计算的roll yield仍然是大于0的，但是很明显我们不能进行hedge，因为不hedge情况下可以以更高的3.0000卖出AUD。与之前的结论完全不同。

所以，这种题目就是两种情况有forward和没有forward的两种比较，不考虑roll yield哈

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