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Christine666 · 2024年01月25日

为什么不是-5%

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000102

问题如下：

2. Analyze the foreign-currency return for Portfolio B. Justify your choice.

 

选项：

解释：

Justification

The domestic-currency return for Portfolio B is 0%, and the EUR appreciated 5% against the USD; therefore, the foreign-currency return for Portfolio B is necessarily negative.

The domestic-currency return on a foreign portfolio will reflect both the foreign-currency return on the portfolio and the percentage movements in the spot exchange rate between the domestic and foreign currency. The domestic-currency return is multiplicative with respect to these two factors:

RDC = (1 + RFC)(1 + RFX) – 1

where RDC is the domestic-currency return (in percent), RFC is the foreign-currency return of the asset (portfolio), and RFX is the percentage change of the foreign currency against the domestic currency. (Note that once again, the domestic currency — the USD — is the price currency in the USD/EUR quote for RFX.)

Solving for RFC: (1 + RFC)(1 + 5%) – 1 = 0%; RFC = –4.76%

中文解析：

本小题考察的是外汇投资中return的计算公式：RDC = (1 + RFC)(1 + RFX) – 1

根据题干信息可知，现在RFX=5%，RDC =0，需要求解RFC。带入公式RDC = (1 + RFC)(1 + RFX) – 1计算即可。

老师好！


货币表现形式是USD/EUR, EUR升值5%，USD/EUR 为什么不是降低5% 即R(FX)=-5%？


谢谢！

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1 个答案

pzqa31 · 2024年01月26日

嗨，爱思考的PZer你好：


不是的，这道题问的是foreign-currency portfolio return，指的是Rfc，不是Rfx.

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

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