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!