NO.PZ2022123002000007
问题如下：
Duhamel begins to review
the portfolio of Hannah Duffi, a US resident. Duffi’s portfolio is invested in
American and European securities. On January 1, 2019, Duffi had a portfolio of
USD 50 million and EUR 50 million allocated between stocks and bonds. The
exchange rate on January 1, 2019, was 1.1 USD/EUR.
On January 1, 2020, the value
of Duffi’s European portfolio increased from EUR 50 million to EUR 54 million,
with EUR 20 million in stocks and EUR 34 million in bonds. The current USD/EUR
exchange rate as of January 1, 2020, is 1.16.
For
Duffi’s portfolio, the domestic currency return on the European portfolio over
the previous year is closest to:
选项：
A.5.45%
8.00%
13.89%
解释：
Correct Answer: C
For a US resident:
Foreign currency
return = RFC = {(54 – 50)/50} * 100 = 8%
Percentage change
of foreign currency against domestic currency is
RFX =
{(1.16 – 1.1)/1.1} * 100 = 5.45%
Domestic currency
return = (1+ RFC) (1+ RFX) – 1 = (1.08) (1.0545) – 1 =
13.89%
老师，这里给的equity和bonds的占比是迷惑信息对吧，做这种题只关注整体FC portfolio，不会有关注FC portfolio内细分AA的情况？
