loveshihongyu2021-10-07 15:13:46
loveshihongyu老师好，我想问一下为什么外国债为什么更需要hedge外汇呢？为什么the correlation between foreign-currency returns and foreign-currency asset returns is greater ffor fixed-income portfolios than for equity portfolios呢？谢谢
回答（1）
Chris Lan2021-10-08 14:27:47
Chris Lan同学你好
因为债券和汇率都和利率有关。原版书上的解释是债券和汇率都和利率强相关，所以他们的相关性就高，相关性高就是要么涨都涨，要么跌都跌，所以更需要对冲。因为我们不喜欢要么跌都跌。以下是原文的内容。
It is often asserted that the correlation between foreign-currency returns and foreign-currency asset returns tends to be greater for fixed-income portfolios than for equity portfolios. This assertion makes intuitive sense: both bonds and currencies react strongly to movements in interest rates, whereas equities respond more to expected earnings.
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