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玛卡巴卡 · 2023年06月13日

Expected return credit spread 变化需要通过考虑widening 来判断代入公式里的delta spread的正负号吗？

  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06月13日

嗨，努力学习的PZer你好：


如果是这种直接给表格数据的方式，直接代入数据就行了。不过也要具体看题目怎么出，从widening判断和给的数据也是一致的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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