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黄路迦 · 2025年03月29日

Rdc=Rfc+Rfx+Rdc*Rfc

NO.PZ2018113001000083

问题如下:

Bevis is an adviser to WT, a fund management firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one of his clients, which had a total return of 4.418% last year. Bevis wants to calculate the return due to the foreign currency contribution.

Exhibit 1 summarizes the investment information for Clare's account last year


Calculate the contribution of foreign currency to the total return.

解释:

Answer:

the Clare account’s total (US dollar) return of 4.418%.

The weighted asset return is equal to 1.8%, calculated as follows:

(60%×5%)+[ 40%×(-3%)] = 1.8%

The domestic-currency return is equal to the sum of the weighted asset return, the weighted currency return, and the weighted cross-product of the asset return and the currency return. The latter two terms explain the effects of foreign-currency movements.

Therefore, the contribution of foreign currency equals 2.618% = 4.418% - 1.8% .

中文解析:

本题考察的是外汇投资中return的计算。

要求解的“the contribution of foreign currency”是包含了两部分的,一是RFX,二是交叉项RFC ×RFX

因此,在总的return中减掉RFC 后,剩下的return就是由foreign currency贡献的return了。

另外一种计算方法:

the contribution of foreign currency = wiRFX +wiRFCRFX

=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618%

Rdc=Rfc+Rfx+Rdc*Rfc

这道题目的答案有两种方法。如果第二种方发的逻辑是对的(考虑交叉项的影像),那么为什么第一种方法再算Rfc的时候,不考虑交叉项的影响?

1 个答案

李坏_品职助教 · 2025年03月30日

嗨,爱思考的PZer你好:


第一种方法考虑了交叉项的。


涉及到外汇汇率变动的return有两项,一个是Rfx,另一个是交叉项Rfc * Rfx。

题目给出Rdc = 4.418%,而Rdc = Rfc的贡献 + Rfx的贡献 + 交叉项Rfc * Rfx。

Rfc的贡献是60% * 5% - 40% *3% = 1.8%,Rfc本身指的是外币资产按照外币计价的收益率,两种外币资产之间是没有相关性的,所以Rfc本身不需要考虑交叉项。

那么Rfx + 交叉项 = 4.418% - 1.8% = 2.618%

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NO.PZ2018113001000083 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one ofhis clients, whiha totreturn of 4.418% last year. Bevis wants to calculatethe return e to the foreign currencontribution.Exhibit 1 summarizes the investmentinformation for Clare's account last yeCalculate the contribution of foreign currento the totreturn. Answer:the Clare account’s tot(US llar) return of 4.418%.The weighteasset return is equto 1.8%, calculatefollows:(60%×5%)+[ 40%×(-3%)] = 1.8%The mestic-currenreturn is equto the sum of the weighteasset return, the weightecurrenreturn, anthe weightecross-proof the asset return anthe currenreturn. The latter two terms explain the effects of foreign-currenmovements.Therefore, the contribution of foreign currenequals 2.618% = 4.418% - 1.8% .中文解析本题考察的是外汇投资中return的计算。要求解的“the contribution of foreign currency”是包含了两部分的,一是RFX,二是交叉项RFC ×RFX。因此,在总的return中减掉RFC 后,剩下的return就是由foreign currency贡献的return了。另外一种计算方法the contribution of foreign curren= wiRFX+wiRFCRFX=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618% 有两个疑问1. foreign currencontribution中和教材里面的RFC感觉刚好可以对应,而且教材里面的表述也是return on foreign currency,感觉有点混淆。2.交叉项的处理上面是有点模糊的,我自己刚开始想的处理方式是交叉项*0.5。我的问题是这次问foreign currencontribution要加交叉项,下次如果问的是外币资产的收益贡献呢?也要算完整的交叉项吗?

2025-03-18 14:58 2 · 回答

NO.PZ2018113001000083 问题如下 Bevis is aiser to WT, a funanagement firm. WT's clients are all high-net-worth clients in the U.S. Bevis manages the account for Clare, one ofhis clients, whiha totreturn of 4.418% last year. Bevis wants to calculatethe return e to the foreign currencontribution.Exhibit 1 summarizes the investmentinformation for Clare's account last yeCalculate the contribution of foreign currento the totreturn. Answer:the Clare account’s tot(US llar) return of 4.418%.The weighteasset return is equto 1.8%, calculatefollows:(60%×5%)+[ 40%×(-3%)] = 1.8%The mestic-currenreturn is equto the sum of the weighteasset return, the weightecurrenreturn, anthe weightecross-proof the asset return anthe currenreturn. The latter two terms explain the effects of foreign-currenmovements.Therefore, the contribution of foreign currenequals 2.618% = 4.418% - 1.8% .中文解析本题考察的是外汇投资中return的计算。要求解的“the contribution of foreign currency”是包含了两部分的,一是RFX,二是交叉项RFC ×RFX。因此,在总的return中减掉RFC 后,剩下的return就是由foreign currency贡献的return了。另外一种计算方法the contribution of foreign curren= wiRFX+wiRFCRFX=0.6*0.02+0.4*0.035+0.6*0.05*0.02+0.4*0.035*(-0.03)=2.618% Rfc=60%5%+40%(-3%)=1.8%Rfx=60%2%+40%*3.5%=2.6%Rfx+RfcRfx=2.6%+2.6%*1.8%=2.6468

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