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棉花糖糖糖 · 2022年06月04日

benchmark和spread变化带来的expected return计算结果有误?

NO.PZ2018120301000011

问题如下:

Celia and Dan review the total expected 12-month return (assuming no reinvestment income) for the global bond portfolio. Selected financial data are presented in Exhibit 2.


Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:

选项:

A.

0.90%.

B.

1.66%.

C.

3.76%.

解释:

Correct Answer: B

B is correct. The total expected return is calculated as follows:

Total expected return = Rolling yield

+/– E(Change in price based on investor’s benchmark yield view)

+/– E(Change in price due to investor’s view of credit spread)

+/– E(Currency gains or losses)

where Rolling yield = Coupon income + Rolldown return.



这两项分别只算了duration的影响,分别是-0.78%和-0.67%。

若将convexity影响加上,计算结果应该分别是-0.53%和-0.48%。

因此,总体expected return 应该是2.1%, 答案中没有此选项。


另外,建议在有问必答模块输入中插入特殊符号功能,谢谢!

1 个答案
已采纳答案

pzqa015 · 2022年06月05日

嗨,努力学习的PZer你好:


答案没问题哈

答案计算了duration和convexity的影响,得到基准利率和spread带来的expected return分别为-0.78%和-0.67%,你把convexity那一项的小数点位数搞错了,所以得到-0.53%和-0.48%。

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