a******5
发帖数: 199 | 1 问一个比较小白的问题，从buy side的角度考虑，无论是投资equity还是bond，asset
value每天都在变，如何才能最有效的hedge currency risk? 难道global macro fund
每天都rebalance hedge position?
还请大牛指教 |
w**********y
发帖数: 1691 | 2 buy forward, weekly rebalance might be enough?
asset
fund
【在 a******5 的大作中提到】
: 问一个比较小白的问题，从buy side的角度考虑，无论是投资equity还是bond，asset
: value每天都在变，如何才能最有效的hedge currency risk? 难道global macro fund
: 每天都rebalance hedge position?
: 还请大牛指教
|
z***e
发帖数: 5600 | 3 Funded by local currency
asset
fund
★ 发自iPhone App: ChineseWeb 8.7
【在 a******5 的大作中提到】
: 问一个比较小白的问题，从buy side的角度考虑，无论是投资equity还是bond，asset
: value每天都在变，如何才能最有效的hedge currency risk? 难道global macro fund
: 每天都rebalance hedge position?
: 还请大牛指教
|
a******5
发帖数: 199 | 4 那也要看算performance的时候是不是要convert currency
现在如果假设要convert成USD，应该怎样hedge?
【在 z***e 的大作中提到】
: Funded by local currency
:
: asset
: fund
: ★ 发自iPhone App: ChineseWeb 8.7
|
a******5
发帖数: 199 | 5 嗯，感觉好像没有太systematic的方法
还是说global macro fund像索罗斯那样，本来就是bet currency的，currency rate也
是total return的一部分？所以不用太精细的hedge?
【在 w**********y 的大作中提到】
: buy forward, weekly rebalance might be enough?
:
: asset
: fund
|
w**********y
发帖数: 1691 | 6 bet currency 当然会有这样的trade，那是直接trade FX, either cash or fwd or
futures. 跟你要hedge currency fluctuation是两件事情。不太见谁混在一起bet的。
比如，你总不能既看涨Euribor同时看跌欧元的时候才去买吧？
【在 a******5 的大作中提到】
: 嗯，感觉好像没有太systematic的方法
: 还是说global macro fund像索罗斯那样，本来就是bet currency的，currency rate也
: 是total return的一部分？所以不用太精细的hedge?
|
t******d
发帖数: 15 | 7 usually you trade futures to speculate international markets. so only your
PNL part subject to currency risk. this is relative small and can often be
ignored.
asset
fund
【在 a******5 的大作中提到】
: 问一个比较小白的问题，从buy side的角度考虑，无论是投资equity还是bond，asset
: value每天都在变，如何才能最有效的hedge currency risk? 难道global macro fund
: 每天都rebalance hedge position?
: 还请大牛指教
|
a******5
发帖数: 199 | 8 ok, thanks.
It's similar to the CDS hedging problem. The credit exposure changes every
day, how do I choose an appropriate hedge notional and rebalance frequency?
That's why I was asking the currency hedge question.
【在 t******d 的大作中提到】
: usually you trade futures to speculate international markets. so only your
: PNL part subject to currency risk. this is relative small and can often be
: ignored.
:
: asset
: fund
|
c*******a
发帖数: 6 | 9 most buy side hedges ccy risk on monthly basis(same as their rebalancing
cycle). spot/fwd mkt has much better liquidity than future and same spread.
the good thing is no physical cashflow(see below) or margin account.
1. first trade: outright fwd/NDF with value date = T+1month
2. a few days before value date, do FX swap. near leg offsets previous trade
and results in some net hedging pnl/cashflow. far leg established a new
hedge 1month out again
3. repeat step 2 until the position is closed |
