NO.PZ2018120301000002
问题如下：
Based on Exhibit 1, the rolling yield of Aschel over a one-year investment horizon is closest to:
选项：
A. –2.56%
0.54%
5.66%
解释：
B
is correct. The rolling yield is the sum of the coupon income and the rolldown
return. Coupon income is the sum of the bond’s annual current yield and
interest on reinvestment income. Cécile assumes that there is no reinvestment
income for any of the three funds, and the yield income for Aschel will be
calculated as follows:
Coupon
income = Annual average coupon payment/Current bond price = $3.63/$117.00 =
0.0310, or 3.10%.
The rolldown return is equal to the bond’s percentage price change assuming an unchanged yield curve over the horizon period. The rolldown return will be calculated as follows:
Rolling yield = Coupon income + Rolldown return = 3.10% – 2.56% = 0.54%.
如题
