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章鱼小圆子 · 2023年07月15日

虽然算对了，但是没明白底层逻辑

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812310200000202

问题如下：

Based on Exhibit 1, the one-year expected return on the Entre Corp. bond is closest to:

选项：

A.

3.73%.

B.

5.50%.

C.

7.27%.

解释：

A is correct. The expected return on the Entre Corp. bond over the next year is its yield to maturity plus the expected percentage price change in the bond over the next year. In the table below, for each possible transition, the expected percentage price change is the product of the bond’s modified duration of 7.54, multiplied by –1, and the change in the spread, weighted by the given probability:
Expected percentage price change = (0.0002 × 6.786%) + (0.0030 × 4.524%) + (0.0480 × 3.016%) + (0.8573 × 0.000%) + (0.0695 × –14.326%) + (0.0175 × –37.700%) + (0.0045 × –60.320%)
= –1.76715%.
So, the expected return on the Entre Corp. bond is its yield to maturity plus the expected percentage price change due to credit migration:
Expected return = 5.50% – 1.77% = 3.73%.

用这个matrix算出来的是价格预计变动的百分比，既然价格预计会下跌，为什么expect return还会上升呀？价格和利率不是反向变动吗

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1 个答案

pzqa015 · 2023年07月16日

嗨，努力学习的PZer你好：


价格下跌，△P/P为负，也就是矩阵算出来的。

但是期初买入时有个ytm，期间价格变动，导致产生△P/P，它与ytm加到一起，才是真是的投资收益。

本题△P/P=-1.767%，期初Ytm是5.5%，所以1年期的投资收益是5.5%-1.767%

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Isaac1763 · 2024年07月27日

我也有同样疑问，为什么△P/P下降，反而ER上升了。正常逻辑应该是△P/P下降，r上升，应该是用YTM减去-1.767%，价格变动下降，r增加才对。这个点根本没有解释，有点答非所问了。

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NO.PZ201812310200000202问题如下Baseon Exhibit 1, the one-yeexpectereturn on the Entre Corp. bonis closest to: A.3.73%. B.5.50%. C.7.27%. A is correct. The expectereturn on the Entre Corp. bonover the next yeis its yielto maturity plus the expectepercentage prichange in the bonover the next year. In the table below, for eapossible transition, the expectepercentage prichange is the proof the bons mofieration of 7.54, multiplie–1, anthe change in the sprea weightethe given probability:Expectepercentage prichange = (0.0002 × 6.786%) + (0.0030 × 4.524%) + (0.0480 × 3.016%) + (0.8573 × 0.000%) + (0.0695 × –14.326%) + (0.0175 × –37.700%) + (0.0045 × –60.320%)= –1.76715%.So, the expectereturn on the Entre Corp. bonis its yielto maturity plus the expectepercentage prichange e to cret migration: Expectereturn = 5.50% – 1.77% = 3.73%. 老师，我一开始想到的关于expectereturn肯定就是收益能够是多少？但是在这题里面，我看了答案，是关于信用转移矩阵的，这个也是被叫作expectereturn吗？我也看到了强化课PPT里面cret rating这一章写的是crei spremigration typically reces the expecteretrun, 这个就是用这个公式求出来的变化的值是吗？

2022-04-25 10:27 1 · 回答

expectereturn为啥不是△P/P？△P已经是一个期间收益了啊。

2020-08-27 22:26 1 · 回答

请问，题干中的“one yeexpectereturn ”的one ye在这里有啥特殊意义嘛

2020-03-15 00:16 1 · 回答