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梦阳紫依 · 2023年05月11日

另一种算法是否可行?

NO.PZ2018113001000083

问题如下:

Bevis is an adviser to WT, a fund management firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one of his clients, which had a total return of 4.418% last year. Bevis wants to calculate the return due to the foreign currency contribution.

Exhibit 1 summarizes the investment information for Clare's account last year


Calculate the contribution of foreign currency to the total return.

解释:

Answer:

the Clare account’s total (US dollar) return of 4.418%.

The weighted asset return is equal to 1.8%, calculated as follows:

(60%×5%)+[ 40%×(-3%)] = 1.8%

The domestic-currency return is equal to the sum of the weighted asset return, the weighted currency return, and the weighted cross-product of the asset return and the currency return. The latter two terms explain the effects of foreign-currency movements.

Therefore, the contribution of foreign currency equals 2.618% = 4.418% - 1.8% .

中文解析:

本题考察的是外汇投资中return的计算。

要求解的“the contribution of foreign currency”是包含了两部分的,一是RFX,二是交叉项RFC ×RFX

因此,在总的return中减掉RFC 后,剩下的return就是由foreign currency贡献的return了。

另外一种计算方法:

the contribution of foreign currency = wiRFX +wiRFCRFX

=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618%

60%x2%+40%*3.5%=2.6%,同样是加权平均,就像算weighted asset return一样。和答案差一点


如果不行 请解释一下 谢谢

1 个答案

pzqa31 · 2023年05月11日

嗨,爱思考的PZer你好:


the contribution of foreign currency = wiRFX +wiRFCRFX

=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618%

这个计算方法是对的


60%x2%+40%*3.5%=2.6% 这个不对,只算了Rfx,没算交叉项RfcRfx

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