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senyyf · 2025年06月29日

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  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000101

问题如下：

1. Analyze the movement of the USD against the foreign currency for Portfolio A. Justify your choice.

选项：

解释：

Justification

The 19.5% domestic-currency return for Portfolio A is higher than the 15% foreign-currency portfolio return in GBP; therefore, the USD necessarily depreciated relative to the GBP.

The domestic-currency return on a foreign portfolio will reflect both the foreign-currency return on the portfolio and the percentage movements in the spot exchange rate between the domestic and foreign currency. The domestic-currency return is multiplicative with respect to these two factors:

RDC = (1 + RFC)(1 + RFX) – 1

where RDC is the domestic-currency return (in percent), RFC is the foreign-currency return of the asset (portfolio), and RFX is the percentage change of the foreign currency against the domestic currency. (Note that in the RFX expression the domestic currency — the USD in this case — is the price currency.)

Solving for RFX: (1 + 15%)(1 + RFX) – 1 = 19.50%; RFX = 3.91%

Thus, the USD depreciated relative to the GBP. That is, the GBP appreciated against the USD because RFX is quoted in terms of USD/GBP, with the USD as the price currency and GBP as the base currency, and in this example RFX is a positive number (3.91%).

中文解析：

本小题考察的是外汇投资中return的计算公式：RDC = (1 + RFC )(1 + RFX ) – 1

根据题干信息可知，Rdc=19.5%,Rfc=15%，根据公式RDC = (1 + RFC)(1 + RFX) – 1 得到Rfx是大于0的，具体数值是3.91%，其中Rfx的汇率表达形式是本币/外币即USD/GBP，因此Rfx大于0，意味着GBP升值，对应的就是USD贬值。

您好，这题我直接回答结论可以吗？

the movement of the USD against the foreign currency for Portfolio A is depreciated。

不描述原因和过程，这样能拿满分吗，像这种问答题，存在得一半分吗，还是要么全给，要么没有分？

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1 个答案

李坏_品职助教 · 2025年06月29日

嗨，从没放弃的小努力你好：


只写个结论不行，拿不到所有分数的，扣一半分。


想拿全分，还是要分析一下Rdc和Rfc的关系，并由此得出Rfx是如何变化的。



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