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Shawnxz · 2024年05月04日

为什么这边用五分法算出来的是另一个结果？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000802

问题如下：

The total expected return over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项：

A.

2.515% for the Buy-and-Hold portfolio and 4.555% for the Yield Curve rolldown portfolio, respectively.

B.

2.42% for the Buy-and-Hold portfolio and 4.51% for the Yield Curve Rolldown portfolio, respectively.

C.

2.491% for the Buy-and-Hold portfolio and 3.59% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct. Under a static yield curve assumption, expected returns are equal to rolldown return plus changes in currency over the investment horizon.

Expected returns are:

Buy and Hold: E(R) = 2.515%, or (1.01 × 1.015) – 1

Yield Curve Rolldown: E(R) = 4.555%, or (1.0301 × 1.015) - 1

请问这里可以用五分法吗？另外在别的地方看到的乘法，请问在基础班和强化班，分别在哪一个视频里？想回去再听一下

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pzqa31 · 2024年05月07日

嗨，爱思考的PZer你好：


这里用到跨国投资的收益公式：RDC=（1+RFC）(1+RFX)-1，RFC代表在国外投资的收益率，RFX代表外汇收益或亏损，RDC代表转换为本币计价的收益率。

buy and hold：

持有1年期的收益就是期初的ytm，即RFC=1%。RFX=1.5%

所以RDC=（1+1%）（1+1.5%）-1

rolldown：

由于没有coupon收益，这个策略持有1年的收益只有rolldown return，即RFC=99.009/96.1169-1=3.01%，RFX=1.5%

所以RDC=（1+3.01%）（1+1.5%）-1

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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05月05日

嗨，努力学习的PZer你好：


能否用五分法主要看题目给的条件够不够全，至于同学提到的乘法，因为我们这边也无法直接搜索，同学如果遇到相关题目，可以再来这里提问。

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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！

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