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Zwwei · 2022年07月11日

需要考虑通胀因素吗？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000057

问题如下：

An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:

Using the information in the table, calculate the historical Australian equity risk premium by the “equity-vs-bonds” premium method.

选项：

A.

4.6%

B.

2.7%

C.

1.8 %

解释：

C is correct.

The historical equity risk premium is 1.8%, calculated as follows:

Historical equity returns – Historical 10-year government bond yield = Historical equity risk premium

4.6% – 2.8% = 1.8%

解析：

Historical equity returns=historical 10-year government bond yield + Historical equity risk premium，根据此等式，我们就可以反求出Historical equity risk premium= 4.6% – 2.8% = 1.8%注意到题目要求的是历史数据 ， 所以求解此题时都应该用表格第一列的数据 。

这里需要考虑通胀因素吗？为什么？

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1 个答案

源_品职助教 · 2022年07月12日

嗨，爱思考的PZer你好：


historical 10-year government bond yield 这里其实已经包含了通胀，

所以就没有必要额外在考虑了。

而且题目说的是“equity-vs-bonds”这种方法，也就是EQUITY 比BOND多出来的风险，多出来的风险中也不包括通胀风险。

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