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犬来八荒 · 2023年06月29日

能否根据EUR against USD来判断DC FC?

NO.PZ2018111501000001

问题如下:

Aron wants to analyze the movement of EUR against the foreign currency USD for portfolio X. It is known that the domestic-currency return is 15% and the foreign-currency asset return is 12%. Which of the following is correct?

选项:

A.

the percentage movement in the spot exchange rate is -2.61%, EUR relative to USD is appreciated.

B.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is appreciated.

C.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is depreciated.

解释:

C is correct.

考点:Currency Risk & Portfolio Return and Risk

解析:

RDC=(1+RFC)(1+RFX)1R_{DC}=(1+R_{FC})(1+R_{FX})-1

已知domestic-currency return is 15%,即RDC=15%R_{DC}=15\%,foreign-currency asset return is 12%,即RFC=12%R_{FC}=12\% ,代入公式,则RFX=2.68%R_{FX}=2.68\% 。根据EUR/USD(DC/FC)的外汇报价方式,由于RFX>0R_{FX}>0,因此USD相对于EUR是升值的,也就是说, EUR相对于USD是贬值的。

这里想问下题干阅读理解的问题,是否外汇这里有约定俗成的含义。

题干中提到了analyze the movement of EUR against the foreign currency USD for portfolio X。因此可以知道USD是FC。

但如果题目中去掉粗体的foreign currency,只说analyze the movement of EUR against USD for portfolio X,是否能知道FC是谁?


看到基础班课件上对于Rfx的定义,提到了Rfx is the movement of foreign currency agianst domestic currency.

所以有点疑问。

1 个答案

pzqa31 · 2023年06月29日

嗨,从没放弃的小努力你好:


个人觉得不能,一般题目都会说的很明确的,大多会告诉你客户或者投资者是哪个国家的人,想去哪里投资,就能判断本外币。

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