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凉茶325 · 2022年02月09日

为什么不用currency return计算啊

  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.

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。

为什么不用currency return计算啊

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1 个答案

Hertz_品职助教 · 2022年02月10日

嗨，爱思考的PZer你好：


同学你好~

解析中只给到了一种计算方法，其实还是有另外一种方法的，另一种方法是包含了currency return的。

另一种方法：

the contribution of foreign currency = wiRFX +wiRFCRFX

=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(0.03)=2.618%

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

ǎng-áng💗 · 2022年04月08日

where is this formula from?

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NO.PZ2018113001000083 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one ofhis clients, whiha totreturn of 4.418% last year. Bevis wants to calculatethe return e to the foreign currencontribution.Exhibit 1 summarizes the investmentinformation for Clare's account last yeCalculate the contribution of foreign currento the totreturn. Answer:the Clare account’s tot(US llar) return of 4.418%.The weighteasset return is equto 1.8%, calculatefollows:(60%×5%）+[ 40%×（-3%）] = 1.8%The mestic-currenreturn is equto the sum of the weighteasset return, the weightecurrenreturn, anthe weightecross-proof the asset return anthe currenreturn. The latter two terms explain the effects of foreign-currenmovements.Therefore, the contribution of foreign currenequals 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。另外一种计算方法the contribution of foreign curren= wiRFX+wiRFCRFX=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618% 为什么asset return对应的是FX的变动？或者为什么这部分叫做asset return啊？不是汇率的变化吗？

2024-05-27 15:36 1 · 回答

NO.PZ2018113001000083 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one ofhis clients, whiha totreturn of 4.418% last year. Bevis wants to calculatethe return e to the foreign currencontribution.Exhibit 1 summarizes the investmentinformation for Clare's account last yeCalculate the contribution of foreign currento the totreturn. Answer:the Clare account’s tot(US llar) return of 4.418%.The weighteasset return is equto 1.8%, calculatefollows:(60%×5%）+[ 40%×（-3%）] = 1.8%The mestic-currenreturn is equto the sum of the weighteasset return, the weightecurrenreturn, anthe weightecross-proof the asset return anthe currenreturn. The latter two terms explain the effects of foreign-currenmovements.Therefore, the contribution of foreign currenequals 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。另外一种计算方法the contribution of foreign curren= wiRFX+wiRFCRFX=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618% 请问4.418% 怎么算出来的

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2024-01-15 21:48 1 · 回答

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