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一只可爱的猪 · 2020年02月29日

问一道题:NO.PZ2018070201000039

问题如下:

Which of the following recently funded exchange-traded funds has the highest annualized rate of return?

选项:

A.

ETF A.

B.

ETF B

C.

ETF C.

解释:

B is correct.

Annualized rate of return of ETF A is 11.3% = (1.045 365/ 150  )-1

Annualized rate of return of ETF B is 16.8% = (1.012 52/4  )-1

Annualized rate of return of ETF C is 8.4% = (1.144 12/ 20 )-1

So, ETF B has the highest annualized return, despite having the lowest value for the periodic rate.

这个题目为什么不能按360天来算全部

(1+1.2%)^ 360/28

(1+14.4%)^ 360/600

1 个答案

星星_品职助教 · 2020年03月01日

同学你好,

如果是复利年化,就需要用365天。只有单利年化或者题目提示的情况下,才用360天。复利年化的形式是(1+HPR)^(365/150)次方,而单利年化的形式往往是HPR×360/150的形式。大部分的情况下都是用复利做年化的,只有LIBOR和FRA等特殊产品才用单利.

即使是复利做年化,也不能用365/28的形式来算,已经给了week数量,就需要直接用52周去计算,52周是364天,刻意转化反而会人为出现误差。同理,如果是月份,也是不能用365/600来算的,因为这个时候没法确定一个月用30还是31天。总之就是题干给了什么直接用就可以。

 

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