roll yield 

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%.

B.

0.54%.

C.

5.66%.

解释：

B is correct.

The rolling yield is the sum of the yield income and the rolldown return. Yield income is the sum of the bond’s annual current yield and interest on reinvestment income. Perreaux assumes that there is no reinvestment income for any of the three funds, and the yield income for Aschel will be calculated as follows: Yield 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:

Rolldown return = (Ending Bond Price - Beginning Bond Price) / Beginning Bond Price

Rolldown return = (114.00 - 117.00) / 117.00

Rolling yield = Yield income + Rolldown return = 3.10% – 2.56% = 0.54%