HKboy83

各位國內的xdjm,
我我是來自香港的一名CFA L3考生,

小弟現於香港某對沖基金負責風險管理, 我想我一點點的practical experience 可能會對大家有一點幫助吧
見大家為這道題爭得面紅耳赤, 所以忍不住也發表一下意見

我認為答案應該是 Futures,

理由很簡單, 我會practioner看 risk 是看 portfolio overall sensitivity to one market variables. Delta = 0 implies no risk.

如果你對市場沒有view, 你就要你的 portfolio delta = 0

在這裏，只有用 futures 才可以今 portolio delta = 0
The other combinations (options + underlying asset) all results in non-zero sensitivity to underlying prices

I have cross checked my answer with my firends working at other ibanks/fund hedge sitting for the same exam. Seems we have all choosen Futures.

 

Hope this can help

sunandsky

QUOTE:

以下是引用HKboy83在2010-6-11 10:46:00的发言：

各位國內的xdjm,
我我是來自香港的一名CFA L3考生,

小弟現於香港某對沖基金負責風險管理, 我想我一點點的practical experience 可能會對大家有一點幫助吧
見大家為這道題爭得面紅耳赤, 所以忍不住也發表一下意見

我認為答案應該是 Futures,

理由很簡單, 我會practioner看 risk 是看 portfolio overall sensitivity to one market variables. Delta = 0 implies no risk.

如果你對市場沒有view, 你就要你的 portfolio delta = 0

在這裏，只有用 futures 才可以今 portolio delta = 0
The other combinations (options + underlying asset) all results in non-zero sensitivity to underlying prices

I have cross checked my answer with my firends working at other ibanks/fund hedge sitting for the same exam. Seems we have all choosen Futures.

 

Hope this can help

 

 

no view 就是要放弃potential profit吗？还是只要对冲downside risk 就好了？

tommyyxh

QUOTE:

以下是引用HKboy83在2010-6-11 10:46:00的发言：

各位國內的xdjm,
我我是來自香港的一名CFA L3考生,

小弟現於香港某對沖基金負責風險管理, 我想我一點點的practical experience 可能會對大家有一點幫助吧
見大家為這道題爭得面紅耳赤, 所以忍不住也發表一下意見

我認為答案應該是 Futures,

理由很簡單, 我會practioner看 risk 是看 portfolio overall sensitivity to one market variables. Delta = 0 implies no risk.

如果你對市場沒有view, 你就要你的 portfolio delta = 0

在這裏，只有用 futures 才可以今 portolio delta = 0
The other combinations (options + underlying asset) all results in non-zero sensitivity to underlying prices

I have cross checked my answer with my firends working at other ibanks/fund hedge sitting for the same exam. Seems we have all choosen Futures.

 

Hope this can help

 

 

实际经验没有用，考试就是考试，按照书上得来。

 

比如说commodity可以hedge inflation，书上说农产品不能，可是现实生活中，为了对付预期通胀，很多机构和对冲基金都做多农产品，对抗通胀。

那是不是这次考试，问你那个不能对付通胀，你就选玉米呢？ 选了就错了。 你难道去和CFA协会辩论去？

 

不能拿你现实得东西来回答考试得问题，考试得答案就得从书上找。而currency risk management 这个reading 非常明确得对比了future 和option， 说了no view得时候用option。

 

现实归现实，可是cfa 仍然逃脱不料所有考试得软肋，就是与实际有差别！！！

HKboy83

無言.......

HKboy83

請注意，
用option是有 downside risk 的

如果你的 asset implied vol 很高，option permium 可以接近 asset price 的一半

 

sankwok

QUOTE:

以下是引用tommyyxh在2010-6-11 11:58:00的发言：

书上原话（book 5 第310页）：

 

If a hedging decision is necessary because an investor faces an inceasing volatility in exchange rates and doesn't have a clear view of the direction of change, currency options are a natural strategy. ... ... in that case, option would have allowed the investor to hedge a drop in the Australian dollar while maintaining the opportunity to profit in case it rose..

 

Where the direction of a currency movement is clearly ofrecasted, currency futures provide a cheaper hedge. In setting the hedge, however, investors should take into account the expected return on the portfolio and its correlation iwth currency movements.

 

 

不过看大家都说future。。。那我错了。。。55555 又错一题。。。

[此贴子已经被作者于2010-6-11 12:43:45编辑过]

no way, i had the same answer with you ! it should be option ..most cost effective !!

sankwok

QUOTE:

以下是引用HKboy83在2010-6-11 10:46:00的发言：

各位國內的xdjm,
我我是來自香港的一名CFA L3考生,

小弟現於香港某對沖基金負責風險管理, 我想我一點點的practical experience 可能會對大家有一點幫助吧
見大家為這道題爭得面紅耳赤, 所以忍不住也發表一下意見

我認為答案應該是 Futures,

理由很簡單, 我會practioner看 risk 是看 portfolio overall sensitivity to one market variables. Delta = 0 implies no risk.

如果你對市場沒有view, 你就要你的 portfolio delta = 0

在這裏，只有用 futures 才可以今 portolio delta = 0
The other combinations (options + underlying asset) all results in non-zero sensitivity to underlying prices

I have cross checked my answer with my firends working at other ibanks/fund hedge sitting for the same exam. Seems we have all choosen Futures.

 

Hope this can help

Hi hkboy,

 

understanding that in real practice, we normally choose futures to hedge or even leave the market with 0 exposure ( like what hedged funds do recently in such unknown market), but the question was to expose upside potential while protecting the downside in most cost effective way, it looks the only justified answer from book is option ....lol .....let's discuss more ...

 

to be honest, i am a cfa 3 candidate working in a private bank in HK , most so-called ethical practices or IPS are not practical at all

[此贴子已经被作者于2010-6-13 0:34:36编辑过]

xsq00

等成绩等的心焦啊