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

返回

Cindy · 2020年09月22日

问一道题：NO.PZ2018111501000001 [ CFA III ]

  1. CFA III
  2. Derivative

问题如下：

Aron wants to analyze the movement of EUR against the foreign currency USD for portfolio X. It is known that the domestic-currency return is 15% and the foreign-currency asset return is 12%. Which of the following is correct?

选项：

A.

the percentage movement in the spot exchange rate is -2.61%, EUR relative to USD is appreciated.

B.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is appreciated.

C.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is depreciated.

解释：

C is correct.

考点：Currency Risk & Portfolio Return and Risk

解析：

RDC=(1+RFC)(1+RFX)−1R_{DC}=(1+R_{FC})(1+R_{FX})-1

已知domestic-currency return is 15%，即RDC=15%R_{DC}=15\%，foreign-currency asset return is 12%，即RFC=12%R_{FC}=12\% ，代入公式，则RFX=2.68%R_{FX}=2.68\% 。根据EUR/USD（DC/FC）的外汇报价方式，由于RFX>0R_{FX}>0，因此USD相对于EUR是升值的，也就是说， EUR相对于USD是贬值的。

这道题问的不是spot rate change吗？问什么答案给的是R(DC)的计算？return on domestic currency 应该不只是spot rate change 吧
添加评论
1 个答案
已采纳答案

xiaowan_品职助教 · 2020年09月23日

嗨，从没放弃的小努力你好：


同学你好，

这道题不是求Rdc，Rdc是已知条件15%，Rfc是已知条件12%，这两个数字带入到答案公式中可以得到Rfx是2.68%。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


  • 1

    回答

  • 0

    关注

  • 470

    浏览
相关问题

NO.PZ2018111501000001问题如下Aron wants to analyze the movement of EUR against the foreign currenUSfor portfolio X. It is known ththe mestic-currenreturn is 15% anthe foreign-currenasset return is 12%. Whiof the following is correct?A.the percentage movement in the spot exchange rate is -2.61%, EUR relative to USis appreciateB.the percentage movement in the spot exchange rate is 2.68%, EUR relative to USis appreciateC.the percentage movement in the spot exchange rate is 2.68%, EUR relative to USis preciate C is correct.考点CurrenRisk Portfolio Return anRisk解析R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1已知mestic-currenreturn is 15%，即R=15%R_{}=15\%R​=15%，foreign-currenasset return is 12%，即RFC=12%R_{FC}=12\%RFC​=12% ，代入公式，则RFX=2.68%R_{FX}=2.68\%RFX​=2.68% 。根据EUR/US/FC）的外汇报价方式，由于RFX 0R_{FX} 0RFX​ 0，因此US对于EUR是升值的，也就是说， EUR相对于US贬值的。 根据Fc/的报价方式，应该是useur，那这么看eur应该是升值了啊

2023-12-13 11:40 2 · 回答

NO.PZ2018111501000001 问题如下 Aron wants to analyze the movement of EUR against the foreign currenUSfor portfolio X. It is known ththe mestic-currenreturn is 15% anthe foreign-currenasset return is 12%. Whiof the following is correct? A.the percentage movement in the spot exchange rate is -2.61%, EUR relative to USis appreciate B.the percentage movement in the spot exchange rate is 2.68%, EUR relative to USis appreciate C.the percentage movement in the spot exchange rate is 2.68%, EUR relative to USis preciate C is correct.考点CurrenRisk Portfolio Return anRisk解析R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1已知mestic-currenreturn is 15%，即R=15%R_{}=15\%R​=15%，foreign-currenasset return is 12%，即RFC=12%R_{FC}=12\%RFC​=12% ，代入公式，则RFX=2.68%R_{FX}=2.68\%RFX​=2.68% 。根据EUR/US/FC）的外汇报价方式，由于RFX 0R_{FX} 0RFX​ 0，因此US对于EUR是升值的，也就是说， EUR相对于US贬值的。 这里想问下题干阅读理解的问题，是否外汇这里有约定俗成的含义。题干中提到了analyze the movement of EUR against the foreign currenUSfor portfolio X。因此可以知道USFC。但如果题目中去掉粗体的foreign currency，只说analyze the movement of EUR against USfor portfolio X，是否能知道FC是谁？看到基础班课件上对于Rfx的定义，提到了Rfx is the movement of foreign currenagianst mestic currency.所以有点疑问。

2023-06-29 14:23 1 · 回答

NO.PZ2018111501000001 问题如下 Aron wants to analyze the movement of EUR against the foreign currenUSfor portfolio X. It is known ththe mestic-currenreturn is 15% anthe foreign-currenasset return is 12%. Whiof the following is correct? A.the percentage movement in the spot exchange rate is -2.61%, EUR relative to USis appreciate B.the percentage movement in the spot exchange rate is 2.68%, EUR relative to USis appreciate C.the percentage movement in the spot exchange rate is 2.68%, EUR relative to USis preciate C is correct.考点CurrenRisk Portfolio Return anRisk解析R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1已知mestic-currenreturn is 15%，即R=15%R_{}=15\%R​=15%，foreign-currenasset return is 12%，即RFC=12%R_{FC}=12\%RFC​=12% ，代入公式，则RFX=2.68%R_{FX}=2.68\%RFX​=2.68% 。根据EUR/US/FC）的外汇报价方式，由于RFX 0R_{FX} 0RFX​ 0，因此US对于EUR是升值的，也就是说， EUR相对于US贬值的。 问题1.这道题目 本币EUR， 外币是US对吗？ 题干中 ，如果说 foreign currenUS那么 US就是 外币吧？（因为 总是习惯性 认为 US本币了）问题2.这里算出来 Rfx ，外汇变动收益为2.68%代表 外汇US相对于 EUR 上涨了2.68%但是如果算，本币EUR 相对于 外汇下跌了多少%？怎么算呢？USEUR 从1 ，变成 1.0268EUR/US1，变成1/1.0268则US变动幅度是 （1/1.0268-1）=-2.61%是这样计算吗？

2022-12-03 12:42 1 · 回答

NO.PZ2018111501000001 the percentage movement in the spot exchange rate is 2.68%,, EUR relative to USis preciate这个答案没问题，但是我们在计算 spot exchange rate是不是应该站在EUR角度，这样计算数值应该是-2.61%，毕竟题目问的是analyze the movement of EUR against the foreign currenUS

2022-03-08 11:00 1 · 回答

NO.PZ2018111501000001 老师，您好！请问下，通过这道题的题干的描述“EUR against the foreign currenUS，能否直接判断出来是USEUR还是EUR/US

2021-10-05 11:45 1 · 回答