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蕾 · 2024年01月08日

这里计算coupon income为啥不用2.25乘以2

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000011

问题如下：

Celia and Dan review the total expected 12-month return (assuming no reinvestment income) for the global bond portfolio. Selected financial data are presented in Exhibit 2.


Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:

选项：

A.

0.90%.

B.

1.66%.

C.

3.76%.

解释：

Correct Answer: B

B is correct. The total expected return is calculated as follows:

Total expected return = Rolling yield

+/– E(Change in price based on investor’s benchmark yield view)

+/– E(Change in price due to investor’s view of credit spread)

+/– E(Currency gains or losses)

where Rolling yield = Coupon income + Rolldown return.


coupon income

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2 个答案

pzqa31 · 2024年01月09日

嗨，努力学习的PZer你好：


如果这样的话除以本金的时候也应该除以200，结果是一样的，因为最后是一个百分比，这里相当于用面值100的收益来算收益率了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa31 · 2024年01月08日

嗨，努力学习的PZer你好：


为什么要乘以2？这不是按年付息么，一年付一次，而且求的是年化利收益率。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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