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daiwin18 · 2023年09月27日

还是不太理解为何要加上交叉项

  1. CFA III
  2. Derivative

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.

选项：

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%

（Rdc+1）=（1+Rfc）*（1+Rfx），现在已经知道Rdc和Rfc，直接用这个公式求Rfx=（Rdc+1）/ （1+Rfc） - 1,为何不行？

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pzqa31 · 2023年09月28日

嗨，努力学习的PZer你好：


因为题目问的是 the contribution of foreign currency to the total return，也就是由于外汇（或者你可以理解为汇率变动）带来的贡献，所以要剔除外国资产本身增值的部分，剩下wiRFX +wiRFCRFX，第一部分是本金部分由于汇率变化带来的损益，第二部分是收益部分由于汇率变化带来的损益。

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努力的时光都是限量版，加油！

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NO.PZ2018113001000083 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one ofhis clients, whiha totreturn of 4.418% last year. Bevis wants to calculatethe return e to the foreign currencontribution.Exhibit 1 summarizes the investmentinformation for Clare's account last yeCalculate the contribution of foreign currento the totreturn. Answer:the Clare account’s tot(US llar) return of 4.418%.The weighteasset return is equto 1.8%, calculatefollows:(60%×5%）+[ 40%×（-3%）] = 1.8%The mestic-currenreturn is equto the sum of the weighteasset return, the weightecurrenreturn, anthe weightecross-proof the asset return anthe currenreturn. The latter two terms explain the effects of foreign-currenmovements.Therefore, the contribution of foreign currenequals 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 curren= wiRFX+wiRFCRFX=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618% 为什么asset return对应的是FX的变动？或者为什么这部分叫做asset return啊？不是汇率的变化吗？

2024-05-27 15:36 1 · 回答

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