neutral benchmark over a rules-based approach是什么意思？

问题如下：

Wilson Manufacturing (Wilson) is an Australian institutional client of Ethan Lee, who manages a variety of portfolios across asset classes. Wilson prefers a neutral benchmark over a rules-based approach, with its investment policy statement (IPS) requiring a currency hedge ratio between 97% and 103% to protect against currency risk. Lee has assessed various currency management strategies for Wilson’s US dollar-denominated fixed-income portfolio to optimally locate it along the currency risk spectrum. The portfolio is currently in its flat natural neutral position because of Lee’s lack of market conviction.

Identify the most likely approach for Lee to optimally locate Wilson’s portfolio on the currency risk spectrum, consistent with the IPS. Justify your response with two reasons supporting the approach.

选项：

解释：

Correct Answer:

Passive hedging is not likely because the IPS allows the 3% band around the neutral position. In addition, passive hedging is a rules-based approach, which is contrary to Wilson’s preference.

Active currency management is not likely because the 3% band around the neutral position is too limited for that approach. In many cases, the difference between discretionary hedging and active currency management is more of emphasis than degree. The primary duty of the discretionary hedger is to protect the portfolio from currency risk. Active currency management is supposed to take currency risks and manage them for profit. Leaving actual portfolio exposures near zero for extended periods is typically not a viable option.

Currency overlay is not likely because the 3% band is too small to indicate active currency management in a currency overlay program. In addition, currency overlay programs are often conducted by external, FX-specialized sub-advisers to a portfolio, whereas Lee is a generalist managing a variety of portfolios across asset classes. Finally, currency overlay allows for taking directional views on future currency movements, and a lack of market conviction is noted here.