开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

sabrinamao · 2020年03月04日

问一道题:NO.PZ201812020100000807

* 问题详情,请 查看题干

问题如下:

Based on Exhibit 3, the 1-year expected return of the Buy-and-Hold portfolio for the Cefrino Australian government bond portfolio is closest to:

选项:

A.

0.83%.

B.

1.08%.

C.

2.22%

解释:

B is correct.

The total expected return is calculated as:

Total expected return = Yield income + Rolldown return = Rolling yield + E (currency gains or losses).

能麻烦您把计算过程写一下么,怎么也算不对结果,谢谢

1 个答案
已采纳答案

发亮_品职助教 · 2020年03月04日

嗨,努力学习的PZer你好:


利用收益率分解公式,Expected return decomposition model,一共有5项:

1、Yield income = Annual coupon / Current Price = 1.40 / 99.75 = 1.4035%

2、Rolldown return = (Ending price - beginning price)/begginning price = (100-99.75)/99.75 = 0.2506%

其中 Rolling yield = yield income + rolldown return = 1.4035% + 0.2506% = 1.6541%

3、因为债券是持有至到期,到期金额就是面值,所以利率的改变对债券卖出价格的影响为0,于是

E(Change in price based on investor's views of yields and yield spreads) = 0,其实这道题的表格里也没给出利率的变化,所以利率的变化为0,如果这个债券不是持有至到期,这项依然为0.

4、E(Credit losses)题目没说,认为是0

5、E(Currency gains or losses) = -0.57%

所以Expected return = 1.6541% - 0.57% = 1.0841%


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!