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zcy · 2025年05月27日

怎么看出来这题是考这个公式的？

  1. CFA III
  2. Derivative

NO.PZ2018111501000001

问题如下：

Aron wants to analyze the movement of EUR against the foreign currency USD for portfolio X. It is known that the domestic-currency return is 15% and the foreign-currency asset return is 12%. Which of the following is correct?

选项：

A.

the percentage movement in the spot exchange rate is -2.61%, EUR relative to USD is appreciated.

B.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is appreciated.

C.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is depreciated.

解释：

C is correct.

考点：Currency Risk & Portfolio Return and Risk

解析：

RDC=(1+RFC)(1+RFX)−1R_{DC}=(1+R_{FC})(1+R_{FX})-1

已知domestic-currency return is 15%，即RDC=15%R_{DC}=15\%，foreign-currency asset return is 12%，即RFC=12%R_{FC}=12\% ，代入公式，则RFX=2.68%R_{FX}=2.68\% 。根据EUR/USD（DC/FC）的外汇报价方式，由于RFX>0R_{FX}>0，因此USD相对于EUR是升值的，也就是说， EUR相对于USD是贬值的。

怎么看出来这题是考这个公式的？

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1 个答案

李坏_品职助教 · 2025年05月27日

嗨，爱思考的PZer你好：


题目给出domestic-currency return，这个指的是以本币DC衡量的return，即Rdc。

然后给出 foreign-currency asset return，这个是以外币FC衡量的return，也就是Rfc。


看一下题目四个选项，前半句都是percentage movement in the spot exchange rate，这说的是汇率的变化，也就是问你汇率Rfx变化了多少？


所以这道题就是根据Rdc与Rfc去推算Rfx的，涉及到这三个变量的公式，那也就是Rdc ​= (1+Rfc​)(1+Rfx​)−1 了。

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