题目
Pear, Inc. is a manufacturer that is heavily dependent on plastic parts shipped from Malaysia. Pear wants to hedge its exposure to plastic price shocks over the next 7.5 months. Futures contracts, however, are not readily available for plastic. After some research, Pear identifies futures contracts on other commodities whose prices are closely correlated to plastic prices. Futures on Commodity A have a correlation of 0.85 with the price of plastic, and futures on Commodity B have a correlation of 0.92 with the price of plastic. Futures on both Commodity A and Commodity B are available with 6-month and 9-month expirations. Ignoring liquidity considerations, which contract would be the best to minimize basis risk?
选项
A.Futures on Commodity A with 6 months to expiration
B.Futures on Commodity A with 9 months to expiration
C.Futures on Commodity B with 6 months to expiration
D.Futures on Commodity B with 9 months to expiration
答案
D
解析
In order to minimize basis risk, one should choose the futures contract with the highest correlation to price changes, and the one with the closest maturity, preferably expiring after the duration of the hedge. 为了尽量降低基差风险，应选择与价格变动相关性最高的期货合约，以及期限最接近的期货合约，最好是在对冲期限过后到期，这样可以完全覆盖此阶段现货变动风险。