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

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?

1 个答案
已采纳答案

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。

  • 1

    回答
  • 0

    关注
  • 481

    浏览
相关问题

NO.PZ2019103001000011 2.20%. 3.76%. B is correct. The totexpectereturn is calculateas: Totexpectereturn = Rolling yiel+ E(Change in pribaseon investor’s yielanyielspreview) – E(Cret losses) + E(Currengains or losses) Rolling yiel= Yielincome + Rollwn return 正常在计算中加上gain减去loss,但是有的时候给出的值不知道如何判断,比如说有些题目,expectegain or loss给的是0.5,这时候是加0.5;但是这道题给的标题直接给的expecteloss是0.13,就是减去0.13;那么是不是在前一种条件下,正负号就分别对应了gain和loss;在第二种情况下,正负号表示的意义跟第一种是相反的?

2021-10-19 07:32 1 · 回答

NO.PZ2019103001000011 如题 - lta y+1/2*C*lta y 平方 这里的D

2021-10-11 23:20 1 · 回答

NO.PZ2019103001000011 老师,这里第二年的price是98.62,与current year比,是上升了,那yiel是应该下降吗?所以这里的0.15%应该是用-0.15%代入计算吗? -5.19 * (-0.15%) + 1/2 * 22 * (−0.15%)2 

2021-10-01 00:11 1 · 回答

NO.PZ2019103001000011 2.20%. 3.76%. B is correct. The totexpectereturn is calculateas: Totexpectereturn = Rolling yiel+ E(Change in pribaseon investor’s yielanyielspreview) – E(Cret losses) + E(Currengains or losses) Rolling yiel= Yielincome + Rollwn return 算不出0,78,0.15的平方太小了很难算

2021-08-01 21:10 1 · 回答

NO.PZ2019103001000011 老师您好,这里第一行写了notionprincipal等于200,后面的annucoupon payment是每100pvalue得payment,那计算yielincome的时候为什么不用✖️2?notionprincipal就是混淆的条件吗?还是什么时候会用的到?

2021-06-06 16:16 1 · 回答