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willsucceed

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tT
发表于 2011-7-11 19:25 | 只看该作者

Strategic Benchmark Hedge Ratio

advise, 318, definition, 2011
Refering to CFAI Text Vol 5, P.315~318 & 2011 CFAI Mock Exam Q18

Can anyone advise what is the definition of Strategic Benchmark Hedge Ratio ?
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IAmNeil

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发表于 2011-7-11 19:25 | 只看该作者
Strategic Benchmark Hedge Ratio defines the amount of hedging needed to cover the risk of adverse currency movements . It sis based on expected performance of foreign investments and expectations of currency movements.

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cityboy

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3#
发表于 2011-7-11 19:25 | 只看该作者
ht+he=1+cov/var

ht = translation exposure (always hedge 100% for translation risk)
he = economic exposure

sum of the two is total hedge ratio.

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infinitybenzo

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发表于 2011-7-11 19:25 | 只看该作者
Why it is called "Strategic Benchmark" Hedge Ratio ? I can not find it's definition in Glossary and
I think it is different from that of ht+he=1+cov/var.

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former

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发表于 2011-7-11 19:25 | 只看该作者
So i computed my h = 1.1. what does it say? what do i do with it?

Also, I've seen questions saying "Joe wants to hedge translation risk but not economic"...actually think I saw one saying that the guy wanted to hedge economic but not translation.

So seems like I can look at them seperately...

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Analyze_This

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6#
发表于 2011-7-11 19:25 | 只看该作者
june2009 Wrote:
-------------------------------------------------------
> So i computed my h = 1.1. what does it say? what
> do i do with it?
>
> Also, I've seen questions saying "Joe wants to
> hedge translation risk but not
> economic"...actually think I saw one saying that
> the guy wanted to hedge economic but not
> translation.
>
> So seems like I can look at them seperately...

Okay, but you were referring to the minimum variance hedge ratio, not the unitary hedge ratio.

NO EXCUSES

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