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Brownie · 2022年02月11日

有点不太读懂这个答案的逻辑

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100001203

问题如下：

Recommend the trading strategy C&M should implement. Justify your response.

解释：

Given C&M’s research conclusion and the IPS constraints, the currency team should under-hedge Bhatt’s portfolio by selling the US dollar forward against the Indian rupee in a forward contract (or contracts) at no less than a 75% hedge ratio of the portfolio’s USD10,000,000 market value. By under-hedging the portfolio relative to the “neutral” (100% hedge ratio) benchmark, the team seeks to add incremental value on the basis of its view that the US dollar will appreciate against the Indian rupee while maintaining compliance with the IPS.

Since the Indian rupee is assumed to depreciate against the US dollar, a 100% hedge ratio would largely eliminate any alpha opportunity. However, a hedge ratio greater than 75% but less than 100% (as dictated by the plus or minus 25% versus neutral IPS constraint) provides the opportunity to capture currency return in the expected US dollar appreciation against the Indian rupee.

中文解析：

本题中本来担心美元贬值的，应该完全hedge。

但现在预期美元升值，是对我们有利的，因此就可以降低hedge比例的情况了，而可以降低到的最低点就是在100%hedge的基础上下降25%，就是75%。

麻烦老师帮忙解释下，有点不太读懂这个答案的逻辑

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2 个答案

Hertz_品职助教 · 2022年02月14日

嗨，爱思考的PZer你好：


不客气哈

继续加油！

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Hertz_品职助教 · 2022年02月13日

嗨，从没放弃的小努力你好：


同学你好~

这里其实考察的还是投资外币资产，担心外币贬值这样一个外汇管理的问题。

1.     我们看一下这个问题对应的题干，大体是说Bhatt这个人他要回到自己的国家印度了，但是他现在的资产是美元资产，因此他需要把美元转换成自己国家的货币印度卢比哈。

2.     所以对Bhatt这个人来说呢，美元就是外币，本币是印度卢比。

3.     然后，这个人的IPS对外汇管理是允许一定范围的自由管理的空间的是上下25%，对应原文“within a range of plus or minus 25% from the neutral position using forward contracts on the currency pair.”，原文中的neutral position指的是百分之百hedge哈，所以允许25%的浮动范围，就是hedge的比例，可以在75%-125%之间了。

4.     继续分析，外币是美元，且是美元资产，因此担心美元贬值，对应的是要short forward on INR/USD。

但是现在呢，预测美元是升值的，对应原文“C&M’s currency team strongly believes the US dollar will appreciate relative to the Indian rupee.”，而升值对我们来说是好事，因为美元升值，我们将来可以转换成更多的印度卢比。所以这种情况下，我们就可以减少hedge的比例了，而我们前面分析啦，hedge的比例只能在75%到125%之间，现在减少hedge的比例，就是可以hedge75%啦。

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加油吧，让我们一起遇见更好的自己！

Brownie · 2022年02月14日

谢谢

· 2024年08月10日

感谢老师

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