问题如下:
Deveraux and Foster review the total expected 12-month return (assuming no reinvestment income) for the global bond portfolio. Selected financial data are presented in Exhibit 2.
Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:
选项:
A.0.90%.
2.20%.
3.76%.
解释:
B is correct.
The total expected return is calculated as:
Total expected return = Rolling yield + E(Change in price based on investor’s yield and yield spread view) – E(Credit losses) + E(Currency gains or losses)
Rolling yield = Yield income + Rolldown return
我自己算的时候annual coupon是2.25*2, 因为总共有200 par
请问公式里的这个annual coupon payment要理解成coupon rate / principal value吗?