Mnay people seemed to have missed this question. Does anyone remember what the topic was? It’s all a blur for me now.

Hedging Currency

I got to this with just a few minutes left. Was a real mind-f*** to get do under time pressure. Fell one calculation short.

Was it the question that involved British Pounds and Mexican Pesos?

Ettienne wat was the hedged returns u got? nos of contracts were 9000 and 7000 right?

The Currency hedging question I did was using futures to hedge JPY/USD and JPY/GBP for a japanese investor who had Eur and USD equities

Pretty long question - but I did finish it. Tricky part was they asked for hedged and unhedged return for “entire portfolio”. Not for each individual part. So, you needed to translate both Euro and USD back into JPY and calculate unhedged and hedge return for entire portfolio. not worth the points but I did it anyways since I knew I could get it right…

I know, and the translation was so long therefore, i missed the second part of the question.

Does anybody remember which prices to use for futures profits? I guess I skewed up anyway. I used spot prices in September to calculate futures contract profits.

think i got -.47% and 4.8%??? cant really recall at the moment

I second your second number. The first one, I got something that was very close to -1%. ChiTownBull Wrote: ------------------------------------------------------- > think i got -.47% and 4.8%??? > > cant really recall at the moment

any idea wat minutes rebalancing was worth?

9 minutes.

Time pressure killed question #11 for me, and #6 I didn’t spend much time on. Luckily though, they only accounted for 20 points total.

This question was ridiculous because there were way too many calculations for the amount of points it was worth. It was like 3 pts for saying they should buy or sell futures and then 6pts to calculate the effectiveness of the hedge. I had 2 pages of calculations. I came up with -0.74% and -0.94% or something like that so I said the hedge was effective. I am not confident at all but considering all the work I did, hopefully they give me a decent amount of partial credit. When I finished it, I thought I probably did it wrong considering how long it took me and it was only worth a handful of points, but the whole test seemed to be like that - a lot of small parts for each question.

Oh wait, you mean there were a lot of questions labeled “four minutes” or “three minutes” that took five minutes to solve? Exactly how I felt.

equity_research_nds Wrote: ------------------------------------------------------- > Ettienne > wat was the hedged returns u got? > > nos of contracts were 9000 and 7000 right? Agree with contract numbers. I think I did the unhedged return and the numbers -0.7% and 4.8% ring a bell. I also did at least one of the two hedged returns before running out of time, but I can’t remember… In fact, I think I just did not have time to combine the last two calculations to get a portfolio return.