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尚好的青春 · 2024年01月01日

这个题为什么不选B?

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208100100000501

问题如下：

Based on the information provided in Exhibit 1, the domestic currency value of Dias’s foreign investments most likely:

选项：

A.

decreased because of changes in the domestic currency value of foreign asset holdings.

B.

increased because of changes in the domestic currency value of UK assets but decreased because of changes in the domestic currency value of German assets.

C.

increased because of changes in the domestic currency value of foreign asset holdings.

解释：

Solution

C is correct. The domestic currency value of Dias’s portfolio of foreign assets most likely increased because of changes in the domestic currency value of foreign asset holdings. The domestic currency return of the portfolio of foreign assets is:

RDC = w1(1 + RFC,GBP )(1 + RFX,GBP ）+ w2(1 + RFC,EUR )(1 + RFX,EUR ) – 1

= 0.659(86,000,000/83,400,000)(4.1025/3.8729) + 0.341(51,000,000/55,000,000)(3.5142/3.0359)

= 0.659(1.0312)(1.0592) + 0.341(0.9273)(1.1575)

= 0.659(1.0923) + 0.341(1.0734)

= 0.0858

The calculations show that the domestic currency value of the portfolio of foreign assets increased because of changes (i.e., increases) in the domestic currency value of UK and German equity investments. Note:

w1 = 322,999,860/489,974,360 = 0.659，and

w2 = 166,974,500/489,974,360 = 0.341

A is incorrect. The domestic currency value of the portfolio increased, and the domestic currency value of UK and German investments increased.

B is incorrect. The domestic currency value of the portfolio increased because of increases in the domestic currency value of UK and German investments. It is the foreign currency value of German equity investments that declined.

中文解析：

在本题中本币为BRL，由上面的计算可知本币的收益RDC为0.0858，是大于0的，因此首先判断the domestic currency value是增加了的。然后根据计算过程可知：外币英镑资产和外币欧元资产的收益率都是大于1的（分别是1.0923和1.0734），因此可以知道这两种资产都会使得本币资产增加。

根据期初价值计算，折算为本币资产价值为489：包括英镑322和欧元166.

期末价值，折算为本币资产价值为532：包括英镑352和欧元108。从这里可以看出资产价值是increase的，但是英镑是increase的，欧元是decrease的，不应该选择B 吗？

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1 个答案

pzqa31 · 2024年01月02日

嗨，从没放弃的小努力你好：


期末欧元的资产价值不对，应该是178。

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努力的时光都是限量版，加油！

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