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徐威廉 · 2023年02月12日

权重哪来的？

  1. CFA III
  2. Derivative

NO.PZ2022123002000005

问题如下：

Marina Campos is a senior portfolio manager for Sabanai Investimentos in Sao Paulo, Brazil. The first client is Gilvan Araujo Dias, a high-net-worth client who has given Sabanai responsibility for managing his foreign investments, which consist of equity investments in the United Kingdom and Germany. His other assets consist of equity and corporate bond investments in Brazil. Exhibit 1 summarizes information on Dias's foreign portfolio holdings and exchange rates.


Based on the information provided in Exhibit 1, the domestic currency value of Dias's foreign investments most likely:

选项：

A.

decreased because of changes in the domestic currency value of foreign asset holdings

B.

increased because of changes in the domestic currency value of UK assets but decreased because of changes in the domestic currency value of German assets

C.

increased because of changes in the domestic currency value of foreign asset holdings

解释：

Correct Answer: C

The domestic currency value of Dias's portfolio of foreign assets most likely increased because of changes in the domestic currency value of foreign asset holdings. The domestic currency return of the portfolio of foreign assets is:

RDC = w1[(1 + RFC,GBP)(1 + RFX,GBP) -1]+ w2[(1 + RFC,EUR)(1 + RFX,EUR) – 1]

= 0.659[(86,000,000/83,400,000)(4.1025/3.8729)-1]

+0.341[(51,000,000/55,000,000)(3.5142/3.0359)-1]= 0.659(0.0923) + 0.341(0.0734)= 0.0858

The calculations show that the domestic currency value of the portfolio of foreign assets increased because of changes (i.e., increases) in the domestic currency value of UK and German equity investments. Note

w1 = 322,999,860/489,974,360 = 0.659 and w2 = 166,974,500/489,974,360 = 0.341

A is incorrect. The domestic currency value of the portfolio increased, and the domestic currency value of UK and German investments increased.

B is incorrect. The domestic currency value of the portfolio increased because of increases in the domestic currency value of UK and German investments. It is the foreign currency value of German equity investments that declined.

w1 = 322,999,860/489,974,360 = 0.659 and w2 = 166,974,500/489,974,360 = 0.341

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Hertz_品职助教 · 2023年02月13日

嗨，爱思考的PZer你好：


同学你好

这是计算出来的。

计算权重的时候，是看期初时这个外币资产转成本币所占的权重，所以就拿这个英镑资产来说：

期初时是83,400,000英镑，转成本币BRL，就是83,400,000*3.8729=322,999,860 BRL

同理需要计算55,000,000欧元，转成BRL是55,000,000*3.0359=166,974,500 BRL

因此期初时总的资产是二者之和就是489,974,360。然后各自除以这个数就是占比了。

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相关问题

NO.PZ2022123002000005 问题如下 Marina Campos is a seniorportfolio manager for SabanInvestimentos in SPaulo, Brazil. The firstclient is GilvAraujo as, a high-net-worth client who hgiven Sabanairesponsibility for managing his foreign investments, whiconsist of equityinvestments in the UniteKingm anGermany. His other assets consist ofequity ancorporate boninvestments in Brazil. Exhibit 1 summarizes informationon as's foreign portfolio holngs anexchange rates.Baseon theinformation proviin Exhibit 1, the mestic currenvalue of as'sforeign investments most likely: A.creasebecause of changes in the mestic currencyvalue of foreign asset holngs B.increasebecause of changes in the mestic currencyvalue of UK assets but creasebecause of changes in the mestic currencyvalue of Germassets C.increasebecause of changes in the mestic currencyvalue of foreign asset holngs CorreAnswer: CThe mesticcurrenvalue of as's portfolio of foreign assets most likely increaseecause of changes in the mestic currenvalue of foreign asset holngs.The mestic currenreturn of the portfolio of foreign assets is:R = w1[(1+ RFC,GBP)(1 + RFX,GBP) -1]+ w2[(1 + RFC,EUR)(1+ RFX,EUR) – 1]= 0.659[(86,000,000/83,400,000)(4.1025/3.8729)-1]+0.341[(51,000,000/55,000,000)(3.5142/3.0359)-1]=0.659(0.0923) + 0.341(0.0734)= 0.0858The calculationsshow ththe mestic currenvalue of the portfolio of foreign assetsincreasebecause of changes (i.e., increases) in the mestic currenvalueof UK anGermequity investments. Notew1 =322,999,860/489,974,360 = 0.659 anw2 = 166,974,500/489,974,360 =0.341A is incorrect.The mestic currenvalue of the portfolio increase anthe mestic currencyvalue of UK anGerminvestments increaseB is incorrect.The mestic currenvalue of the portfolio increasebecause of increases inthe mestic currenvalue of UK anGerminvestments. It is the foreign currencyvalue of Germequity investments thcline R = w1[(1 + RFC,GBP)(1 + RFX,GBP) -1]+ w2[(1 + RFC,EUR)(1 + RFX,EUR) – 1]= 0.659[(86,000,000/83,400,000)(4.1025/3.8729)-1]+0.341[(51,000,000/55,000,000)(3.5142/3.0359)-1]= 0.659(0.0923) + 0.341(0.0734)= 0.0858The calculations show ththe mestic currenvalue of the portfolio of foreign assets increasebecause of changes (i.e., increases) in the mestic currenvalue of UK anGermequity investments. 【1.怎么从R=0.0858推导出这个结论的？2.把不同时间所有外币都统一成巴西币，然后进行对比，不是一眼就能看出结果了么，为什么还要那么复杂的计算】

2024-01-08 13:53 1 · 回答