问题如下:
Li is a junior fixed-income analyst in a wealth management firm. Her supervisor, Wang, is a fixed-income portfolio manager. Wang manages two different portfolios with different structures. One portfolio is in the bullet structure, and the other one is in barbell structure. By using the components of expected returns, Li wants to compare the performance of these two portfolios. Relevant information about these two portfolios are shown below:
According to the information above, the difference in the rolling yield between the bullet portfolio and the barbell portfolio is:
选项:
A.-0.10%
B.0.20%
C.0.10%
解释:
B is correct.
考点:根据各Component计算Expected return
解析:注意题干只让比较两个Portfolio的Rolling yield之差,不是Expected return之差。所以表格内有多余的信息。Rolling yield = yield income + rolldown return
因为要求的是Bullet和Barbell之差,所以2.05%-1.85%=0.2%
计算yield income的分母不是current price吗,那么是用表格中的beginning price还是ending price呢?