sankwok

QUOTE:

以下是引用slaxlw在2010-6-9 22:40:00的发言：

swap is the cheapest and will benefit with rising rate

hey bro, could you please explain why swap would be more cost effective than options in downside and also the upside market ? just want to know only ! not a challenge ^^

i picked put option ....just because there was a similar question in the sample exam..hahah

sankwok

QUOTE:

以下是引用tommyyxh在2010-6-11 11:58:00的发言：

书上原话（book 5 第310页）：

 

If a hedging decision is necessary because an investor faces an inceasing volatility in exchange rates and doesn't have a clear view of the direction of change, currency options are a natural strategy. ... ... in that case, option would have allowed the investor to hedge a drop in the Australian dollar while maintaining the opportunity to profit in case it rose..

 

Where the direction of a currency movement is clearly ofrecasted, currency futures provide a cheaper hedge. In setting the hedge, however, investors should take into account the expected return on the portfolio and its correlation iwth currency movements.

 

 

不过看大家都说future。。。那我错了。。。55555 又错一题。。。

[此贴子已经被作者于2010-6-11 12:43:45编辑过]

no way, i had the same answer with you ! it should be option ..most cost effective !!

sankwok

QUOTE:

以下是引用HKboy83在2010-6-11 10:46:00的发言：

各位國內的xdjm,
我我是來自香港的一名CFA L3考生,

小弟現於香港某對沖基金負責風險管理, 我想我一點點的practical experience 可能會對大家有一點幫助吧
見大家為這道題爭得面紅耳赤, 所以忍不住也發表一下意見

我認為答案應該是 Futures,

理由很簡單, 我會practioner看 risk 是看 portfolio overall sensitivity to one market variables. Delta = 0 implies no risk.

如果你對市場沒有view, 你就要你的 portfolio delta = 0

在這裏，只有用 futures 才可以今 portolio delta = 0
The other combinations (options + underlying asset) all results in non-zero sensitivity to underlying prices

I have cross checked my answer with my firends working at other ibanks/fund hedge sitting for the same exam. Seems we have all choosen Futures.

 

Hope this can help

Hi hkboy,

 

understanding that in real practice, we normally choose futures to hedge or even leave the market with 0 exposure ( like what hedged funds do recently in such unknown market), but the question was to expose upside potential while protecting the downside in most cost effective way, it looks the only justified answer from book is option ....lol .....let's discuss more ...

 

to be honest, i am a cfa 3 candidate working in a private bank in HK , most so-called ethical practices or IPS are not practical at all

[此贴子已经被作者于2010-6-13 0:34:36编辑过]