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程冠林 · 2024年01月17日

assuming no reinvestment income

* 问题详情,请 查看题干

NO.PZ201812020100000205

问题如下:

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:

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.


何老师在将这个case的时候说通常求expected return的时候,题目里都会这么假设,在这个假设下第一部分return用D/P就好了。请问有基于其他假设出题,而不能使用D/P的题目吗?

1 个答案
已采纳答案

pzqa31 · 2024年01月18日

嗨,努力学习的PZer你好:


目前还没有遇到过,如果同学遇到相关题目可以再发来咱们探讨一下。

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努力的时光都是限量版,加油!

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NO.PZ201812020100000205 问题如下 BaseonExhibit 2, the totexpectereturn of the funs globbonportfoliois closest to: A.0.90%. B.1.66%. C.3.76%. Bis correct. The totexpectereturn is calculatefollows:Totalexpectereturn = Rolling yiel+/–E(Change in pribaseon investor’s benchmark yielview) +/–E(Change in prie to investor’s view of cret sprea +/–E(Currengains or losses)whereRolling yiel= Coupon income + Rollwn return. 怎么看出题目中的Expecteaverage benchmark yielto-maturity change0.15%不是Prichange,而是δYiel不能直接使用,还需要用公式计算一遍δPrice。

2024-05-06 08:21 1 · 回答

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2023-09-01 20:59 1 · 回答

NO.PZ201812020100000205 2.20%. 3.76%. B is corre. The totexpectereturn is calculateas: Totexpectereturn = Rolling yiel+ E(Change in pribaseon investor’s yielanyielspreview) – E(Cret losses) + E(Currengains or losses) Rolling yiel= Yielincome + Rollwn return 新考纲中没有cret loss这一项

2022-02-27 12:20 1 · 回答

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2022-02-23 14:02 1 · 回答