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Claire · 2023年11月21日

交叉项

  1. CFA III
  2. Derivative

NO.PZ2018113001000083

问题如下：

Bevis is an adviser to WT, a fundmanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one ofhis clients, which had a total return of 4.418% last year. Bevis wants to calculatethe return due to the foreign currency contribution.

Exhibit 1 summarizes the investmentinformation for Clare's account last year


Calculate the contribution of foreign currency to the total return.

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%

交叉项里既有外国资产收益的贡献，也有外汇涨跌的贡献，为何计算时全都归入外汇贡献呢？

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pzqa31 · 2023年11月22日

嗨，从没放弃的小努力你好：


首先，我们需要明确的一点是收益率是没有货币单位的。比如你是个中国人，你可以投资美元资产，比如收益率是2%，如果你不打算把这个资产转成人民币，那么你获得的就是2%，跟买人民币资产获得的2%没什么不同，这个时候我们不需要考虑货币单位，收益率就是收益率，没有货币单位的。但是一旦我们要把这个资产换成人民币，那么就要考虑汇率问题了，获得总收益率就可能不是2%，那么这中间的差额就是contribution of foreign currency，也可以表述成contribution of exchange rate，是一个意思的哈，不必纠结。

或者我们可以这样思考，我们来比较两种情况：

1、不考虑foreign currency的问题，我们直接获得的就是asset return

2、考虑foreign currency，我们获得的是asset return+contribution of foreign currency

----------------------------------------------
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？

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