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Brownie · 2022年01月31日

计算两年期的roll down return

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000801

问题如下：

The rolldown returns over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项：

A.

1.00% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

B.

0.991% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

C.

0.991% for the Buy-and-Hold portfolio and 2.09% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct.

Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.

  • Buy and Hold: 1.00% = (100.00 - 99.009)/99.009
  • Yield Curve Rolldown: 3.01% = (99.009 - 96.1169)/96.1169


助教老师，我在计算两年期的roll down return, 跟标准答案不一样，请问我的计算哪里有问题？

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1 个答案

pzqa015 · 2022年02月01日

嗨，爱思考的PZer你好：


spot rate 1是1%，而不是2%

s1=1%，P1=100/1.01=99.009901

你用的s1=2%,P1=100/1.02=98.039216

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