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智茵同学 · 2024年05月15日

这道简单题我这样回答可以吗?

NO.PZ2022123002000008

问题如下:

Mason Darden is an adviser at Colgate & McIntire (C&M), managing large-cap global equity separate accounts. C&M’s investment process restricts portfolio positions to companies based in the United States, Japan, and the eurozone. All C&M clients are US-domiciled, with client reporting in US dollars.

Darden manages Ravi Bhatt’s account, which had a total (US dollar) return of 7.0% last year. Darden must assess the contribution of foreign currency to the account’s total return. Exhibit 1 summarizes the account’s geographic portfolio weights, asset returns, and currency returns for last year.


Calculate the contribution of foreign currency to the Bhatt account’s total return. Show your calculations.

选项:

解释:

Correct Answer:

Currency movements contributed 1.5% to the account’s 7.0% total (US dollar) return, calculated as follows:

The domestic-currency return (RDC) on a portfolio of multiple foreign assets is


Where RFC,i is the foreign-currency return on the ith foreign asset, RFX,i is the appreciation of the ith foreign currency against the domestic currency, and ωi is the weight of the asset as a percentage of the aggregate domestic-currency value of the portfolio. This equation can be rearranged as


Therefore, the domestic-currency return is equal to the sum of the weighted asset return, the weighted currency return, and the weighted cross-product of the asset return and the currency return. The latter two terms explain the effects of foreign-currency movements on the Bhatt account’s total (US dollar) return of 7.0%.

The weighted asset return is equal to 5.5%, calculated as follows:

(0.50 × 10.0%) + (0.25 × 5.0%) + [0.25 × (–3.0%)] = 5.5%.

The weighted currency return is equal to 1.5% calculated as follows:

(0.50 × 0.0%) + (0.25 × 2.0%) + (0.25 × 4.0%) = 1.5%.

The weighted cross-product is equal to –0.005%, calculated as follows:

[0.50 × (10.0% × 0.0%)] + [0.25 × (5.0% × 2.0%)] + [0.25 × (–3.0% × 4.0%)] = –0.005%.

Therefore, the contribution of foreign currency equals 1.5%, calculated as the 7.0% total (US dollar) return less the 5.5% weighted asset return. Alternatively, the contribution of foreign currency to the total return can be calculated as the sum of the weighted currency return of 1.5% and the weighted cross-product of –0.005%:

1.5% + (–0.005%) = 1.495%, which rounds to 1.5%.

Total return in USD(domestic currency) equals to weighted average return on asset return puls weighted average turen on currency return, plus weighted cross product of asset retrun and currency return.

The latter 2 items explain foregin currency contribution to total account.

weighted average return on asset return is .05*10%+0.25 5% +0.25*(-3%)=5.5%

So contribution of foreign currency to the total return is 7%-5.5%=1.5%

1 个答案

pzqa31 · 2024年05月16日

嗨,爱思考的PZer你好:


可以的。

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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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