CFANS

回复 246# tt501916

please look at page 57 of volume 5 textbook, you can see the most powerful hedger is the GSCI energy and its correlation with unexpected inflation is a positive number o.46
    so there should be no dispute about this problem

tt501916

回复 247# tyggt001


You won't get such conclusion if you are thinking like that.
Textbook Reading 18. Capital Market Expectation p.63 reads clearly that different asset classes ( Cash, bond, and equity) move differently in accordance with "inflation above expectation" and "infation below expection. Particularly, if you are talking about "inflation above expectiation, effect to Equity class is NEGATIVE, So the concept is somewhat different from what we heard traditionally in our "daily" life.

However, the question haven't mentioned what kind of asset class does the client want to hedge. So you cannot give any answer if you sort out like that.

The most possible way to solve it is to let inflation be a "underlying asset", and hedge should be always negative.

tt501916

回复 250# CFANS


   Please read reading 18. Capital market expectation P.63. different asset classes move differently in accordance with "inflation above expection" and "inflation below expectation"

Inflation above expectation is + to cash, - to equity & bond.
Inflation below expectation is neutral to cash & bond, + to equity.

How do you hedge then if the question hadn't tell you what is the asset class?

CFANS

回复 252# tt501916


    So how will you explain the positive number of 0.46 for energy with unexpected inflation shown in page 57 of reading 36? why isn't it negative?

tt501916

回复 253# CFANS

that is why i said you can't explain nothing if you are thinking the issue in a "traditional" way.

And my suggestion is to back to earth. i.e. what is "hedge"?

guozeyu

回复 205# casey8192


    还有个9分的第二题，考税的，问的是对investment risk的影响，题干记不清了

greenturtle

回复  casey8192


    还有个9分的第二题，考税的，问的是对investment risk的影响，题干记不清了 ...
guozeyu 发表于 2012-6-5 20:49

    一个是tax exempt的account，一个是taxable的account，都有亏损，有人说如果都放在taxable的account里面，after tax和investment risk都会增加，问你这个说法对不对

greenturtle

回复 247# tyggt001


    通货膨胀越高，资产价格也越高，这样才是hedge，通货膨胀了，你的房子还跌价，那叫什么hedge啊，只有价格跟着inflation上升，也就是有正的corrolation才有意义

greenturtle

回复  CFANS


   Please read reading 18. Capital market expectation P.63. different asset classes m ...
tt501916 发表于 2012-6-5 20:28

    it has nothing to do with capital market expectation. instead with should refer to  Vol 5 alternative investment. P137, answer for question 25: 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.

seekfar

回复 215# greenturtle
都不对，应该选48！

因为题中算出来的spread是4个月的，应该年化乘以3