NO.PZ2023061601000009
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.
expected bond price 不是应该包含Expected YTM change, credit spread change带来的价格变化吗？
