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凉茶325 · 2022年02月10日

是因为这句话选择A吗

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.

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hedge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选项对),而不需要100% hedge住(B选项不对),或者在外汇管理上有更少的自主管理(C选项不对)。

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。

说的是有很大的风险敞口 sizable exposure?



1 个答案

Hertz_品职助教 · 2022年02月10日

嗨,努力学习的PZer你好:


同学你好~

1.     同学圈出来的这句话,是说在在新兴市场上都有相当大的股票和债券敞口,简单说就是有在新兴市场上的投资。而在新兴市场上有投资,且因为新兴市场的波动比较大,需要不断的根据市场变化来积极主动的采取不同的策略,因此是需要进行主动管理的,所以这是支持A选项的。

2.     另外,除了这个原因题干中还描述了这个基金的特征包括倾向于长期投资,资产配置中倾向于股票头寸,以及流动性比较小的特点,都是支持A选项的原因。

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

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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?

2024-01-29 18:10 1 · 回答