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shirley_hd · 2020年10月05日

问一道题:NO.PZ2019103001000011

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

这里面expected average bond price in one year(assuming an unchanged yield curve)和expected average yield and yield spread change两个是否会有矛盾呢?一个是假设yield curve不变,一个是假设yield有改变,这块应该怎么理解呢?

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WallE_品职答疑助手 · 2020年10月05日

同学您好,

这里不矛盾的哈,这是因为他把expected return进行了详细的拆分,分为了票息的收益,roll down(收益率曲线假设不变),收益率曲线变化,信用风险等等。

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