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vvvv03 · 2023年01月17日

用条件算的总return不等于4.418?

NO.PZ2018113001000083

问题如下:

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

Exhibit 1 summarizes the investmentinformation 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。

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%

vvvv03 · 刚刚

用这道题给的条件算出来总收益不等于4.418呀 0.6*(5%+2%+5%*2%)+0.4*(-3%+3.5%+(-3%*3.5%)=4.364%

1 个答案

Hertz_品职助教 · 2023年01月17日

嗨,从没放弃的小努力你好:


同学你好

助教这边计算没有问题呢,计算过程如下,结果是4.418%

0.6*(5%+2%+5%*2%)+0.4*(-3%+3.5%+(-3%*3.5%)

=0.6 * 0.071 + 0.4 * 0.003950

=0.0426 + 0.001580

=0.0044180

= 4.418%


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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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?

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