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麦当劳 · 2021年10月01日

Yield 上升,price为什么也是上升?

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

老师,这里第二年的price是98.62,与current year比,是上升了,那yield不是应该下降吗?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 

1 个答案

pzqa015 · 2021年10月01日

嗨,努力学习的PZer你好:


不是的。

这里的98.62是假设收益率曲线不变时的价格变化(assuming an unchanged yield curve),就是折价发行的债券,随着到期日临近,价格逐渐趋向于面值。

而0.15%是预测收益率曲线发生变化。

expected return分解的roll down return与E(change in price based on investor's yield and yield spread view)相当于是两种情况下的预期收益率,一种是收益率曲线不变,expected return只包含roll down return(不考虑其他分解部分,只考虑这两部分),另一种是收益率曲线改变,expected return包含roll down return与E(change in price based on investor's yield and yield spread vies)。

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努力的时光都是限量版,加油!

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