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明媚的梦想 · 2024年06月02日

在总收益中扣除USD资产的收益=》外币资产的收益?

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%.

总收益为6.995%

USD(本币)资产的收益为5%

那(6.995%-5%)/6.995%是否可以求得由于foreign currency对于总收益的contibution?

1 个答案

pzqa31 · 2024年06月03日

嗨,努力学习的PZer你好:


不可以,the contribution of foreign currency是原版书后题给的一个固定的名词,可以当成了一个名词直接记忆一下,它就代表与foreign currency相关的return,是包括两部分的:一是RFX,二是交叉项RFC ×RFX.如果涉及多个外币,就需要进行加权,即the contribution of foreign currency = wiRFX +wiRFCRFX

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加油吧,让我们一起遇见更好的自己!

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