NO.PZ201601050100000101
问题如下：
1. Analyze the movement of the USD against the foreign currency for Portfolio A. Justify your choice.
选项： 解释： Justification The 19.5% domestic-currency return for
Portfolio A is higher than the 15% foreign-currency portfolio return in GBP;
therefore, the USD necessarily depreciated relative to the GBP. 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 in the RFX
expression the domestic currencythe USD in this caseis the price currency.) Solving for RFX: (1 + 15%)(1 + RFX)
– 1 = 19.50%; RFX =
3.91% Thus, the USD depreciated relative to the
GBP. That is, the GBP appreciated against the USD because RFX is quoted in
terms of USD/GBP, with the USD as the price currency and GBP as the base
currency, and in this example RFX is a positive number (3.91%). 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，Rdc=19.5%,Rfc=15%，根据公式RDC = (1 + RFC)(1 + RFX) – 1 得到Rfx是大于0的，具体数值是3.91%，其中Rfx的汇率表达形式是本币/外币即USD/GBP，因此Rfx大于0，意味着GBP升值，对应的就是USD贬值。 
这道题一定要算出具体数值吗？我的回答如下没有列出公式，请问是否可以》
USD relative to foreign-currency is depreciated.
The return of portfolio A is contained by 2 returns, return of foreign-currency portfolio and return of foreign currency exchange rate. Because the return of portfolio A is 19.5%, which is higher than the return of foreign-currency portfolio. Thus, the return of foreign currency exchange rate is positive, which means the foreign currency (GBP) appreciates and the domestic currency (USD) depreciates.
