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

返回

罗Luo · 2022年04月19日

Expected return中，为何不含yield income?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000802

问题如下：

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

选项：

A.

2.515% for the Buy-and-Hold portfolio and 4.555% for the Yield Curve rolldown portfolio, respectively.

B.

2.42% for the Buy-and-Hold portfolio and 4.51% for the Yield Curve Rolldown portfolio, respectively.

C.

2.491% for the Buy-and-Hold portfolio and 3.59% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct. Under a static yield curve assumption, expected returns are equal to rolldown return plus changes in currency over the investment horizon.

Expected returns are:

Buy and Hold: E(R) = 2.515%, or (1.01 × 1.015) – 1

Yield Curve Rolldown: E(R) = 4.555%, or (1.0301 × 1.015) - 1

Expected return中，为何只含rolldown return，而不含yield income?

添加评论
1 个答案

lynn_品职助教 · 2022年04月20日

嗨，从没放弃的小努力你好：


同学你上传的题目图片没有显示，我尝试回答一下。

在预期收益率曲线不变的条件下，零息债券的E（r）等于 rolldown return加汇率影响。


期初买入价格P0=100/(1+2%)^2=96.1169

 

1年后卖出价格P1=100/(1+1%)=99.0099

 

2年后到期拿到100元。

 

riding the yield curve：96.1169*（1+r）=99.0099,r=3.01%

 

汇率：1.5%

 

E(R) = (1.0301 × 1.015) - 1

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 599

    浏览
相关问题

NO.PZ202112010200000802 问题如下 The totexpectereturn over the 1-yearinvestment horizon for the Buy-anHolanYielCurve Rollwn portfolios areclosest to: A.2.515% for the Buy-anHolortfolio an4.555% for the YielCurve rollwn portfolio, respectively. B.2.42% for the Buy-anHolportfolio an4.51% for the YielCurve Rollwn portfolio, respectively. C.2.491% for the Buy-anHolportfolio an3.59% for the YielCurve Rollwn portfolio, respectively. A is correct. Unr a static yielurve assumption, expectereturns are equto rollwn return plus changes incurrenover the investment horizon.Expectereturns are:Buy anHol E(R) = 2.515%, or (1.01 × 1.015) – 1YielCurve Rollwn: E(R) = 4.555%, or (1.0301 × 1.015) - 1 请问这里可以用五分法吗？另外在别的地方看到的乘法，请问在基础班和强化班，分别在哪一个视频里？想回去再听一下

2024-05-04 16:46 2 · 回答

NO.PZ202112010200000802 问题如下 The totexpectereturn over the 1-yearinvestment horizon for the Buy-anHolanYielCurve Rollwn portfolios areclosest to: A.2.515% for the Buy-anHolortfolio an4.555% for the YielCurve rollwn portfolio, respectively. B.2.42% for the Buy-anHolportfolio an4.51% for the YielCurve Rollwn portfolio, respectively. C.2.491% for the Buy-anHolportfolio an3.59% for the YielCurve Rollwn portfolio, respectively. A is correct. Unr a static yielurve assumption, expectereturns are equto rollwn return plus changes incurrenover the investment horizon.Expectereturns are:Buy anHol E(R) = 2.515%, or (1.01 × 1.015) – 1YielCurve Rollwn: E(R) = 4.555%, or (1.0301 × 1.015) - 1 请问这题条件中哪里学了收益率曲线不变？如果条件没有给足，就默认假设不变吗？

2023-08-22 06:29 1 · 回答

NO.PZ202112010200000802 问题如下 The totexpectereturn over the 1-yearinvestment horizon for the Buy-anHolanYielCurve Rollwn portfolios areclosest to: A.2.515% for the Buy-anHolortfolio an4.555% for the YielCurve rollwn portfolio, respectively. B.2.42% for the Buy-anHolportfolio an4.51% for the YielCurve Rollwn portfolio, respectively. C.2.491% for the Buy-anHolportfolio an3.59% for the YielCurve Rollwn portfolio, respectively. A is correct. Unr a static yielurve assumption, expectereturns are equto rollwn return plus changes incurrenover the investment horizon.Expectereturns are:Buy anHol E(R) = 2.515%, or (1.01 × 1.015) – 1YielCurve Rollwn: E(R) = 4.555%, or (1.0301 × 1.015) - 1 这题不是问的totexpectereturn?为什么解答的方式是用的CURRENVALUE CHANGE?啥时候用五分法？

2023-05-20 14:17 1 · 回答

NO.PZ202112010200000802问题如下 A US-basefixeincome portfolio manager is examining unheenvestments in Thbaht (THzero-coupon government bon issuein Thailannis consiring two investment strategies:Buy-anhol Purchase a 1-year, THB zero-coupon bonwith a current yielto-maturity of 1.00%.Roll wn the THB yielcurve: Purchase a 2-yezero-coupon note with a current yielto-maturity of 2.00% ansell it in a year.THB procee unr eastrategy will converteinto USthe enof the 1-yearinvestment horizon. The manager expects a stable THB yielcurve anthTHB willappreciate 1.5% relative to US The following information is useto analyzethese two investment strategies: The totexpectereturn over the 1-yearinvestment horizon for the Buy-anHolanYielCurve Rollwn portfolios areclosest to: A.2.515% for the Buy-anHolortfolio an4.555% for the YielCurve rollwn portfolio, respectively. B.2.42% for the Buy-anHolportfolio an4.51% for the YielCurve Rollwn portfolio, respectively. C.2.491% for the Buy-anHolportfolio an3.59% for the YielCurve Rollwn portfolio, respectively. A is correct. Unr a static yielurve assumption, expectereturns are equto rollwn return plus changes incurrenover the investment horizon.Expectereturns are:Buy anHol E(R) = 2.515%, or (1.01 × 1.015) – 1YielCurve Rollwn: E(R) = 4.555%, or (1.0301 × 1.015) - 1 请问汇率的影响什么时候用+算 什么时候用*算？有的题目用加有的用乘，考试的时候咋分辨？

2022-03-31 20:11 2 · 回答