滋维博迪投资学Chap023

INVESTMENTS|BODIE,KANE,MARCUSCopyright©2011byTheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinCHAPTER23Futures,Swaps,andRiskManagementINVESTMENTS|BODIE,KANE,MARCUS23-2•Futurescanbeusedtohedgespecificsourcesofrisk.•Hedginginstrumentsinclude:–Foreignexchangefutures–Stockindexfutures–Interestratefutures–Swaps–CommodityfuturesFuturesINVESTMENTS|BODIE,KANE,MARCUS23-3ForeignExchangeFutures•Foreignexchangerisk:Youmaygetmoreorlesshomecurrencythanyouexpectedfromaforeigncurrencydenominatedtransaction.•ForeigncurrencyfuturesaretradedontheCMEandtheLondonInternationalFuturesExchange.INVESTMENTS|BODIE,KANE,MARCUS23-4Figure23.2ForeignExchangeFuturesINVESTMENTS|BODIE,KANE,MARCUS23-5•InterestrateparitytheoremDevelopedusingtheUSDollarandBritishPoundTUKUSrrEF1100whereF0istoday’sforwardrateE0isthecurrentspotratePricingonForeignExchangeFuturesINVESTMENTS|BODIE,KANE,MARCUS23-6TextPricingExamplerus=4%ruk=5%E0=$2.00perpoundT=1yr981.1$05.104.100.2$10FIfthefuturespricevariesfrom$1.981perpound,coveredinterestarbitrageispossible.INVESTMENTS|BODIE,KANE,MARCUS23-7DirectVersusIndirectQuotes•Directexchangeratequote:–Theexchangerateisexpressedasdollarsperunitofforeigncurrency•Indirectexchangeratequote:–TheexchangerateisexpressedasforeigncurrencyunitsperdollarINVESTMENTS|BODIE,KANE,MARCUS23-8HedgingForeignExchangeRiskAUSexporterwantstoprotectagainstadeclineinprofitthatwouldresultfromdepreciationofthepound.Thecurrentfuturespriceis$2/£1.SupposeFT=$1.90?•Theexporteranticipatesaprofitlossof$200,000ifthepounddeclinesby$.10•Shortorsellpoundsforfuturedeliverytoavoidtheexposure.INVESTMENTS|BODIE,KANE,MARCUS23-9HedgeRatioforForeignExchangeExampleHedgeRatioinpounds$200,000per$.10changeinthepound/dollarexchangerate$.10profitperpounddeliveredper$.10inexchangerate=2,000,000poundstobedeliveredHedgeRatioincontractsEachcontractisfor62,500poundsor$6,250pera$.10change$200,000/$6,250=32contractsINVESTMENTS|BODIE,KANE,MARCUS23-10Figure23.3ProfitsasaFunctionoftheExchangeRateINVESTMENTS|BODIE,KANE,MARCUS23-11•Availableonbothdomesticandinternationalstocks•Settledincash•Advantagesoverdirectstockpurchase–lowertransactioncosts–betterfortimingorallocationstrategies–takeslesstimetoacquiretheportfolioStockIndexContractsINVESTMENTS|BODIE,KANE,MARCUS23-12Table23.1MajorStock-IndexFuturesINVESTMENTS|BODIE,KANE,MARCUS23-13Table23.2CorrelationsamongMajorU.S.StockMarketIndexesINVESTMENTS|BODIE,KANE,MARCUS23-14CreatingSyntheticPositionswithFutures•Indexfuturesletinvestorsparticipateinbroadmarketmovementswithoutactuallybuyingorsellinglargeamountsofstock.•Results:–Cheaperandmoreflexible–Syntheticposition;insteadofholdingorshortingalloftheactualstocksintheindex,youarelongorshorttheindexfuturesINVESTMENTS|BODIE,KANE,MARCUS23-15CreatingSyntheticPositionswithFutures•Speculatorsonbroadmarketmovesaremajorplayersintheindexfuturesmarket.–Strategy:BuyandholdT-billsandvarythepositioninmarket-indexfuturescontracts.–Ifbullish,thenlongfutures–Ifbearish,thenshortfuturesINVESTMENTS|BODIE,KANE,MARCUS23-16Exploitingmispricingbetweenunderlyingstocksandthefuturesindexcontract•FuturesPricetoohigh-shortthefutureandbuytheunderlyingstocks•Futurespricetoolow-longthefutureandshortselltheunderlyingstocksIndexArbitrageINVESTMENTS|BODIE,KANE,MARCUS23-17•Thisisdifficulttoimplementinpractice–Transactionscostsareoftentoolarge–Tradescannotbedonesimultaneously•DevelopmentofProgramTrading–Usedbyarbitrageurstoperformindexarbitrage–PermitsquickacquisitionofsecuritiesIndexArbitrageandProgramTradingINVESTMENTS|BODIE,KANE,MARCUS23-18HedgingSystematicRiskToprotectagainstadeclineinstockprices,shorttheappropriatenumberoffuturesindexcontracts.•Lesscostlyandquicker•Usethebetafortheportfoliotodeterminethehedgeratio.INVESTMENTS|BODIE,KANE,MARCUS23-19HedgingSystematicRiskExamplePortfolioBeta=.8S&P500=1,000Decrease=2.5%S&Pfallsto975PortfolioValue=$30millionProjectedlossifmarketdeclinesby2.5%=(.8)(2.5%)=2%2%of$30million=$600,000EachS&P500indexcontractwillchange$6,250fora2.5%changeintheindex.(Thecontractmultiplieris$250).INVESTMENTS|BODIE,KANE,MARCUS23-20HedgeRatioExampleH==ChangeintheportfoliovalueProfitononefuturescontract$600,000$6,250=96contractsshortINVESTMENTS|BODIE,KANE,MARCUS23-21Figure23.4PredictedValueofthePortfolioasaFunctionoftheMarketIndexINVESTMENTS|BODIE,KANE,MARCUS23-22UsesofInterestRateHedges•Abondfundmanagermayseektoprotectgainsagainstariseinrates.•Corporationsplanningtoissuedebtsecuritieswanttoprotectagainstariseinrates.•Apensionfundwithlargecashinflowsmayhedgeagainstadeclineinratesforaplannedfutureinvestment.INVESTMENTS|BODIE,KANE,MARCUS23-23HedgingInterestRateRiskExamplePortfoliovalue=$10millionModifiedduration=9yearsIfratesriseby10basispoints(.1%),thenChangeinvalue=(9)(.1%)=.9%or$90,000Pricevalueofabasispoint(PVBP)=$90,000/10=$9,000perbasispointINVESTMENTS|BODIE,KANE,MARCUS23-24HedgeRatioExampleH==PVBPfortheportfolioPVBPforthehedgevehicle$9,000$90=100T-BondcontractsINVESTMENTS|BODIE,KANE,MARCUS23-25Hedging•TheT-bondcontractsdrivetheinterestrateexposureofabondpositiontozero.