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。
另外一种计算方法：
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%
老师，看答案是分别求foregin exhchange return(Japan+canada)和cross-product(japan+canada)部分，再相加
如果分别求不同国家的foreign contribution（如下），再相加，也可以把?
Given the fomula: return of domestic currency= (1+ return of foregin currency)(1+return of foregin exchange movement)-1, the contribution of foreign currency to the total return=return of foregin exchange movement+return of foregin currency*return of foregin exchange movement, for each asset:
(1) japan=0.6(2%+2%*5%)=1.26%
(2) canada=0.4(3.5%-3.5%*3%)=1.358%
overall, the contribution of foreign currency to the total return=1.26%+1.358%=2.618%
