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坏呼呼嘿嘿 · 2023年05月05日

这个一年后的预期价格和spread的变化应该是相关的吧，没道理yield都涨了，价格还在涨，是不是有bug，怎么理解。

  1. CFA III
  2. Fixed Income

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.


如题

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1 个答案

pzqa31 · 2023年05月06日

嗨，从没放弃的小努力你好：


条件没错，这道题考察的是expected return的分解，其中rolldown return这部分是假设收益率曲线不变，只是由于时间流逝，在同一条收益率曲线上roll down带来的price appreciation。在收益率曲线向上倾斜的情况下，期限短的收益率更低，所以随着时间的流逝，适用的折现率降低，bond price上涨。

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