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%.
B. 2.20%.
C. 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
请问仔计算E(change in price based on yield and yield spread expectaion)的时候,yield的变化量为什么代入0.0015而非0.15?duration不是利率变化百分之一价格变化百分之几么?那带入计算的时候是不是应该把百分号看作符号?