NO.PZ2018120301000011
问题如下：
Celia
and Dan review the total expected 12-month return (assuming no reinvestment
income) for the global bond portfolio. Selected financial data are presented in
Exhibit 2.
Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:
选项：
A.0.90%.
B.1.66%.
C.3.76%.
解释：
Correct Answer: B
B is correct. The total expected return is calculated as follows:
Total expected return = Rolling yield
+/– E(Change in price based on investor’s benchmark yield view)
+/– E(Change in price due to investor’s view of credit spread)
+/– E(Currency gains or losses)
where Rolling yield = Coupon income + Rolldown return.
第三项和第四项是价格的变动值，不需要除以期初价格吗？因为算的是total expected return收益率，两者量纲好像不一样。
