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Local Market Return = 7%
Futures return = (1.3-1.5)/1.5 = -13.33%
(1.07)(.8667) = .9274 - 1 = -7.26% return
80% hedge:
Currency return (assuming futures = spot at t1) = (1.3-1.5)/1.5 = -13.33%
Domestic return = .07-.1333(1.07) = -.0726 (same as 100% hedge since exchange rates behaved the same for spot and futures)
80% hedge return = -.0726-.8(-.1333) = .034
NO EXCUSES |
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发表于 2011-7-11 19:16
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