NO.PZ201601050100000201
问题如下：
1. Based on Exhibit 1, the domestic-currency return over the last year (measured in EUR terms) was higher than the foreign-currency return for:
选项：
A.USD-denominated assets.
B.GBP-denominated assets
C.CHF-denominated assets.
解释：
C is correct.
The domestic-currency return is a function of the foreign-currency return and the percentage change of the foreign currency against the domestic currency. Mathematically, the domestic-currency return is expressed as:
RDC = (1 + RFC)(1 + RFX) – 1
where RDC is the domestic-currency return (in percent), RFC is the foreign-currency return, and RFX is the percentage change of the foreign currency against the domestic currency. Note that this RFX expression is calculated using the investor‘s domestic currency (the EUR in this case) as the price currency in the P/B quote. This is different than the market-standard currency quotes in Exhibit 1, where the EUR is the base currency in each of these quotes. Therefore, for the foreign currency (USD, GBP, or CHF) to appreciate against the EUR, the market-standard quote (USD/EUR, GBP/EUR, or CHF/EUR, respectively) must decrease; i.e. the EUR must depreciate.
The Euro-Swiss (CHF/EUR) is the only spot rate with a negative change (from 1.2175 to 1.2080), meaning the EUR depreciated against the CHF (the CHF/EUR rate decreased). Or put differently, the CHF appreciated against the EUR, adding to the EUR-denominated return for the German investor holding CHF-denominated assets. This would result in a higher domestic-currency return (RDC), for the German investor, relative to the foreign-currency return (RFC) for the CHF-denominated assets. Both the Euro-dollar (USD/EUR) and Euro-sterling (GBP/EUR) experienced a positive change in the spot rate, meaning the EUR appreciated against these two currencies (the USD/EUR rate and the GBP/EUR rate both increased). This would result in a lower domestic-currency return (RDC) for the German investor relative to the foreign-currency return (RFC) for the USD- and GBP-denominated assets.
A is incorrect because the Euro-dollar (USD/EUR) experienced a positive change in the spot rate, meaning the EUR appreciated against the USD (the USD/EUR rate increased). This would result in a lower domestic-currency (i.e. EUR-denominated) return relative to the foreign-currency return for the USD-denominated assets, since the USD has depreciated against the EUR.
B is incorrect because the Euro-sterling (GBP/EUR) experienced a positive change in the spot rate, meaning the EUR appreciated against the GPB (the GBP/EUR rate increased). This would result in a lower domestic-currency (i.e. EUR-denominated) return relative to the foreign-currency return for the GBP-denominated assets, since the GBP has depreciated against the EUR.
中文解析：
本币是EUR，本题问的是RDC大于RFC的是哪一个币种。
根据公式1+RDC=（1+RFC）×（1+RFX）可知，要使得RDC大于RFC，RFX应该大于0。、
并且要注意RFX 的汇率表达形式是DC/FC。
因此外币升值的币种，或者对应本币贬值的那一个币种，即是使得RDC大于RFC的那一个币种。
表格1中给到的数据注意汇率表达形式是FC/DC的形式，研究对象是本币，因此找哪一组币种下本币是贬值的即可。
只有最后一列CHF/EUR中，本币EUR是贬值的，即对应的CHF是升值的，所以选择C
题目应该问的本国的return 比foreign currency asset return 高吧？
这里的foreign currency return ，我理解是指的外汇的收益吧？而非外汇资产的收益
