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1、 StrategicCurrencyHedgingEoshoml加eager0Qnjpfermetiong加)Qirersjjedpor会0加Q1Gge加eCHrTenlCJ7训ps0sSociaedpRoiingSfochs疗071ijerenfconpiries?StrategicCurrencyHedging。SeanO“Connor一珑hissccondanalyticalrolaton训thcmanagementtriningprogramatZcnexSceuriics一Hehadbcenassignedtotheintermationalequiicsdivisionandhad
2、bccnsiventhctaskofIeviewingbeth许ctheoryandevidcncereaicdtoactivecurrencymanagementofcdpn“Argumeatssupportingactivecurrencymanagement一FstunikecquibymarketsHkctheNewYonkStockExchange,manyofthcparticipantwholnadcdaily议tglobalcurrencymaketsarcncttrading垂raproft一Corporatshedecrsaretradingforhedgingpurpos
3、esicentralbanlkstrad讨Pursuitofaanctbyofimaciocconomicgoal一Dniitemanyotherfnancialmarkctsthatmectimedcmnancialc绍ciencycriierathere芸nerealconscnstsof乙cpropervaiationmadell9fprcurrencies一ThismensthatthcresamuchhiherpossibiitythateurenoyvalucscoulddcviateforIngpenodsoftmcfomtheircorcetvaluc一Anuniberofre
4、centstudicshadindicatedthatactivecurrencymanagersdoiadccdad4valuctothciportiaioperformance一Oncreeentstudyfolowing19activecumeneymanagersaverasevenyearperioddicatedactivccumeneynanagersbavehadonavefageposiiveperformanee讨fourofthcsevenyearsExhibit1Russel/MellonSurveyof19ActiveManagers,EndingJune30,200
5、3AnnualedctiveRetominPercentperAnnumPercentieear2s。3s4e67Weez53381644094o95H25Medan词571a454554655E-oo7c036-oonEoa036Maan03588654655157JoveeunilonniyiciieoestCoseedtyieircopretezmopenonpetesIat门sseedEExhibit2AnnualHistoricalExcessReturns,AnnualRisk,andSharpeRatiosforSelectedEquitiesandCurrencies,Janu
6、ary1978toFebruary2003EcCoontAengeecesietmyAnnaaltet00Sovetaeopte70砂aoComd53msEAponEEaux环neoa山38EERonedconeng。Auosoaes3ao5ConsoE4EJpusoEEao5covusognEUniestedt3HaInerstonaComads4EaquteAn56naoaauxE1spau在neoaMeigedstolsawaInenstonlComdawonautennanEaxs6eoxe山agnoxoStrategicHedging:CaseQuestions1Accordingt
7、oExhibit1werethereasignificantnumberofportfoliomanagersabletoaddvaluetointernationalPportfoliosthroughactive(selective)currencymanagementconsistentlyoverthetimeperiodstudied?2.AccordingtoExhibit2,wouldtheinternationalinvestorinanAustraliaportfoliobebettero作onaverage,withacompletelyhedgedorunhedgedpo
8、rtfolio?3歪youwereSean,whatwouldyouconcludefromthisspecificstudy2巳StrategicHedging:CaseQuestionsAccordingtoExhibit1,werethereasignificantumberofportfoliomanagersabletoaddvaluetointerationalportfoliosthroughactive(selective)currencymanagementconsistentlyoverthetimeperiodstudied?。Thetop25thpercenticwer
9、econsistentyabletooutpertornthcmcdianandmcansenifcantywithrespecttoactiverctomu“Howeverthsdoesnotshowthcriskthatnecdedtobeacquiredoracceptedtoachievethoseretums.atleastnotincxbibi1AccordingtoExhibit2.wouldtheinterationalinvestor记anAustraliaportfoliobebetter0作onaveragewithacompletelyhedgedorumhedgedp
10、ortfolio2。tnetpossibletndctennine芸anintemationaliavestorwoaldbebetteroffbeinghedgedoranhedged。AnAustalian-onlyinvestorwouldavehadaigherreturmnhedged(4445versts3.308).batabigherlevelofiisk(15.60%8verses14.1034)。HeweveranintermationalinvestorwouldbeabletoeducethcyAustralancquiticskbothhedgcdandbnhcdgc
11、dtroughinteationalportfziodiversicationStrategicHedging:CaseQuestions3歪youwereSean,whatwouldyouconcludefromthisspecificstudy2,Seanmayhaveleamedanumberofdifferentthings“Firstthatalthoughaportolioisintenationallydiversified.thatisnotthesamethingas“hedged.“Secondly,thathedgingdoesnot-atleastonthebasiso
12、fthedataprovided一guaranteeanybetterorworsereturmsovertime*Seanmightcometothesameconclusionthattraditionalcorporatetreasrershaveformanyyearsthatselectivehedgingmayprotecttefiruortheportiolioffomsignificantlossesinvaluefomumforeseenexctangeratechanges:“Thatsaid.训thelongran训appearstheisksandretumstohedgingdoappeartoaverageout
