标题: Strategic Benchmark Hedge Ratio [打印本页] 作者: willsucceed 时间: 2011-7-11 19:25 标题: Strategic Benchmark Hedge Ratio
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 ?作者: IAmNeil 时间: 2011-7-11 19:25
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.作者: cityboy 时间: 2011-7-11 19:25
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.作者: infinitybenzo 时间: 2011-7-11 19:25
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.作者: former 时间: 2011-7-11 19:25
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...作者: Analyze_This 时间: 2011-7-11 19:25
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.
