tt501916

回复 258# greenturtle


So you are correct if the question is written as " which is most appropriate instrument to protect his/her purchasing power"
However, the question is asking you about hedge, not protection.
The two meanings are similar but are completely different.

For example:

If i am a crazy guy with all my asset in gold (not cash), what is a good hedge under unexpected inflation?

If i am a Chinese guy with only 10% of cash denominated in RMB but the rest of cash exchanged to US$, and i want to live my retirment in CHina. What is a good hedge of my US$ under unexpected inflation of US market?  

If the client (in the question) holds majority of asset in form of equity (inflation-linked? according to your assumption?), what is a good hedge?


All in all, why do you hedge negatively in the currency rate and bonds question, but want to "hedge" positively only in this question? This is a very big trap.

robertwen

benchmark的那个事3点几的，算出来5点几要减去总的CURRENCY ALLOCATION.这个应该给确定的 ...
rongsummer 发表于 2012-6-5 17:41

    我刚开始也是这么想的，算出来是3点几，但回来想想，有些拿不准了。题目是问currency attribution for the benchmark，题目给了总的currency attribution和currency attribution for the assets，按照公式currency attribution=Wj,p Cj,p-Wj,b Cj,b，到底currency attribution for the benchmark指的是-Wj,b Cj,b还是Wj,b Cj,b，本来回来再看看，但是时间都花在汇率的题目上了。出来真想说“CFAI，说人话！”

tt501916

回复 260# tt501916


    think in another way again.

if the question is changed to "unexpected DEFLATION" ,which is a good hedge?
It must be an instrument with negative correlation with the environment.  

Purpose of HEDGE is not because you want to protect your purchasing power, but because you want to maintain your portfolio value stable no matter unexpected deflation happen or not.

greenturtle

我刚开始也是这么想的，算出来是3点几，但回来想想，有些拿不准了。题目是问currency attribution f ...
robertwen 发表于 2012-6-5 21:50

    portfolio的total currency contribution正好是每个asset的currency contribution乘以每个asset的比例，我算过的，于是我就拿bench mark每个asset的百分比乘以currency contribution，结果是3.5几，答案里一个都对不上，唉

foravenir

回复 262# tt501916


    cannot agree more

greenturtle

回复  tt501916


    think in another way again.

if the question is changed to "unexpected DEFLAT ...
tt501916 发表于 2012-6-5 21:56

according to you，a hedge must have negative corrolation with the underling asset,
then how can you explain “ Commodity classes such as livestock and agriculture exhibit negative correlation with unexpected inflation as measured by monthly changes in the inflation rate. Thus they are poor inflation hedges. Storable commodities directly linked to economic activity exhibit positive correlation with changes in inflation and have superior inflation-hedging properties“ from the text book

dmy949

回复  tt501916


    think in another way again.

if the question is changed to "unexpected DEFLAT ...
tt501916 发表于 2012-6-5 21:56

    Anybody still remember what the question asked? As far as I remember, it was dealing with the correlation with the hedged position and market movement. If this is the case, the prefect hedge will be the one with 0 correlation, coz whatever market moves, it has nothing to do with my portfolio.

dmy949

FOF (Fund of fund) does not or is least likely to need "due diligence", read from textbook. So the a ...
tt501916 发表于 2012-6-5 20:08

Ur right fof does not need details dd, however the question asked what was the problem with fof, which should be it's two layers of mgt fee.

greenturtle

回复 266# dmy949


    it's getting more and more complicated......

greenturtle

Ur right fof does not need details dd, however the question asked what was the problem with fof,  ...
dmy949 发表于 2012-6-5 22:25

    I agree with you.