Mason Darden is an adviser at Colgate & McIntire (C&M), managing large-cap global equity separate accounts. C&M’s investment process restricts portfolio positions to companies based in the United States, Japan, and the eurozone. All C&M clients are US-domiciled, with client reporting in US dollars.
Darden manages Ravi Bhatt’s account, which had a total (US dollar) return of 7.0% last year. Darden must assess the contribution of foreign currency to the account’s total return. Exhibit 1 summarizes the account’s geographic portfolio weights, asset returns, and currency returns for last year.
Calculate the contribution of foreign currency to the Bhatt account’s total return. Show your calculations.
为什么这个题目的计算不是如下的:
Euro:[(1+5%)(1+2%)-1 ]*25%=0.01775
JAPAN:[(1-3%)(1+4%)-1 ]*25%=0.0022
us: 50%*10%
将以上三者相加=0.06995
再看由于 foreign currency 带来的,也就是Euro和japan带来的,就是(0.01775+0.0022)/ 0.6995=28.52%