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迷雾森林 · 2024年06月16日

问题

  1. CFA I
  2. Equity

NO.PZ2023040301000027

问题如下：

You decide to sell short 100 shares of Charlotte Horse Farms when it is selling at its yearly high of 56. Your broker tells you that your margin requirement is 45% and that the commission on the purchase is $155. While you are short the stock, Charlotte pays a $2.50 per share dividend. At the end of one year, you buy 100 shares of Charlotte at 45 to close out your position and are charged a commission of $145. What is your rate of return on the investment?

选项：

A.

20.56%

B.

22.65%

C.

18.56%

解释：

Profit on a short sale = Begin value — Ending value — Dividends( Interest)— Trans. costs

ü Beginning value of investment = $56.00 x 100 =$5,600 (Sold under a short sale arrangement)

ü Ending value of investment = $45.00 x 100=$4,500

ü Transaction costs= $155 + $145 =$300.00

ü Dividends = $2.50 x 100 shares =$250.00

ü Profit= $5,600 — $4,500 — $250 — $300= $550.00

Ø Initial investment = Margin requirement + Commission = (0.45 x $5,600) + $155= $2,520 + $155= $2,675

The rate of return on your investment is 20.56%=$550.00 / $2,675

155的佣金，为什么放在期末计算而不放在期初结算？

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1 个答案

王园圆_品职助教 · 2024年06月16日

同学你好，

155是期初为了做这笔卖空交易所必须支付的成本之一

题目这里 “Initial investment = Margin requirement + Commission = (0.45 x $5,600) + $155= $2,520 + $155= $2,675”是在计算期初一共支付了多少成本，如果不支付这个155的佣金，投资者就没有办法完成初始投资，所以这个155必须需要计入初始成本里——这个CFA这里的规定，同学记住每次计算期初投资本金支出的时候，把佣金也要计入即可

另外，155的佣金并不是只放在期末不放在期初计算的——“Profit= $5,600 — $4,500 — $250 — $300= $550.00”这里的300就是期初和期末的佣金之和，计算profit的时候已经把两个佣金都减去过一次了

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