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yx9881 · 2019年12月18日

问一道题:NO.PZ2018120301000050

问题如下:

Wang is a fixed-income analyst in a wealth management firm. He expects the yield curve will remain stable over the next 12 months. Suppose the investment horizon is 1 year and he wants to use the following components to calculate the return of the buy-and hold strategy. The following table shows the relevant information:

According to the information above, what is the total expected-return for the buy-and-hold strategy?

选项:

A.

2.02%

B.

2.79%

C.

2.88%

解释:

B is correct

考点:利用收益率分解公式各Components计算Total expected return.

解析:由公式:

Total expected return = Yield income + Rolldown return + E(Currency gains or loses)

是否可以这样简便求解


因为是buy-and-hold策略, 则实际收益率为: 2.88% + (-0.1%) = 2.78%

1 个答案

发亮_品职助教 · 2019年12月18日

嗨,从没放弃的小努力你好:


“因为是buy-and-hold策略, 则实际收益率为: 2.88% + (-0.1%) = 2.78%”


完全可以。

因为收益率曲线没变,所以持有至到期的收益率就是期初核算的YTM。然后在考虑加减Currency gain or loss,得到投资总收益。


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