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%