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Hu十分 · 2022年01月19日

书上把Rfc叫做foreign currency return

  1. CFA III
  2. Derivative

NO.PZ2018113001000083

问题如下：

Bevis is an adviser to WT, a fund management firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one of his clients, which had a total return of 4.418% last year. Bevis wants to calculate the return due to the foreign currency contribution.

Exhibit 1 summarizes the investment information for Clare's account last year


Calculate the contribution of foreign currency to the total return.

选项：

解释：

Answer:

the Clare account’s total (US dollar) return of 4.418%.

The weighted asset return is equal to 1.8%, calculated as follows:

(60%×5%）+[ 40%×（-3%）] = 1.8%

The domestic-currency return is equal to the sum of the weighted asset return, the weighted currency return, and the weighted cross-product of the asset return and the currency return. The latter two terms explain the effects of foreign-currency movements.

Therefore, the contribution of foreign currency equals 2.618% = 4.418% - 1.8% .

中文解析：

本题考察的是外汇投资中return的计算。

要求解的“the contribution of foreign currency”是包含了两部分的，一是RFX，二是交叉项RFC ×RFX。

因此，在总的return中减掉RFC 后，剩下的return就是由foreign currency贡献的return了。

书上把Rfc叫做foreign currency return，如果考试碰到了，和contribution due to foreign currency该如何区分。

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1 个答案

Hertz_品职助教 · 2022年01月20日

嗨，从没放弃的小努力你好：


同学你好~

同学学习的很细致哈，这里刚好也做一下区分：

1.     RFC和the contribution of foreign currency不一样，这一点需要注意。因为后者指的是总的return中去掉RFC后的两项加总的return：

2.     具体我们来解释一下：

首先，我们需要明确的一点是收益率是没有货币单位的。比如你是个中国人，你可以投资美元资产，比如收益率是2%，如果你不打算把这个资产转成人民币，那么你获得的就是2%，跟买人民币资产获得的2%没什么不同。这个时候我们不需要考虑货币单位，收益率就是收益率，没有货币单位的。

但是一旦我们要把这个资产换成人民币，那么就要考虑汇率问题了，获得总收益率就可能不是2%，那么这中间的差额就是contribution of foreign currency，也可以表述成contribution of exchange rate，是一个意思的哈，不必纠结。

或者我们可以这样思考，我们来比较两种情况：

（1）不考虑foreign currency的问题，我们直接获得的就是asset return

（2）考虑foreign currency，我们获得的是asset return + contribution of foreign currency

本题题目中问的是第2中情况相比于第1种情况多出来的部分。

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