NO.PZ202303270300006301
问题如下：
(1) The total expected return over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:
选项：
A.2.515% for the Buy-and-Hold portfolio and 4.555% for the Yield Curve roll-down portfolio, respectively.
2.42% for the Buy-and-Hold portfolio and 4.51% for the Yield Curve Rolldown portfolio, respectively.
2.491% for the Buy-and-Hold portfolio and 3.59% for the Yield Curve Rolldown portfolio, respectively.
解释：
A is correct. Under a static yield curve assumption, expected returns are equal to rolldown return plus changes in currency over the investment horizon.
Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.
Buy and hold: 1.00% = (100.00-99.009)/99.009
Yield Curve Rolldown: 3.01% = (99.009-96.1169)/96.116
RFX is 1.5%. Expected returns are: Buy and Hold: E(R) = 2.515%, or (1.01 × 1.015)-1 Yield Curve Rolldown: E(R) = 4.555%, or (1.0301 × 1.015) - 1
这里为什么没有coupon income?
