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Carolyne · 2025年07月07日

weight

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202208100100000501

问题如下：

Based on the information provided in Exhibit 1, the domestic currency value of Dias’s foreign investments most likely:

选项：

A.

decreased because of changes in the domestic currency value of foreign asset holdings.

B.

increased because of changes in the domestic currency value of UK assets but decreased because of changes in the domestic currency value of German assets.

C.

increased because of changes in the domestic currency value of foreign asset holdings.

解释：

Solution

C is correct. The domestic currency value of Dias’s portfolio of foreign assets most likely increased because of changes in the domestic currency value of foreign asset holdings. The domestic currency return of the portfolio of foreign assets is:

RDC = w1(1 + RFC,GBP )(1 + RFX,GBP ）+ w2(1 + RFC,EUR )(1 + RFX,EUR ) – 1

= 0.659(86,000,000/83,400,000)(4.1025/3.8729) + 0.341(51,000,000/55,000,000)(3.5142/3.0359)

= 0.659(1.0312)(1.0592) + 0.341(0.9273)(1.1575)

= 0.659(1.0923) + 0.341(1.0734)

= 0.0858

The calculations show that the domestic currency value of the portfolio of foreign assets increased because of changes (i.e., increases) in the domestic currency value of UK and German equity investments. Note:

w1 = 322,999,860/489,974,360 = 0.659，and

w2 = 166,974,500/489,974,360 = 0.341

A is incorrect. The domestic currency value of the portfolio increased, and the domestic currency value of UK and German investments increased.

B is incorrect. The domestic currency value of the portfolio increased because of increases in the domestic currency value of UK and German investments. It is the foreign currency value of German equity investments that declined.

中文解析：

在本题中本币为BRL，由上面的计算可知本币的收益RDC为0.0858，是大于0的，因此首先判断the domestic currency value是增加了的。然后根据计算过程可知：外币英镑资产和外币欧元资产的收益率都是大于0的（分别是0.0923和0.0734），因此可以知道这两种资产都会使得本币资产增加。

为什么不用2014年的weight来计算权重

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1 个答案

李坏_品职助教 · 2025年07月07日

嗨，爱思考的PZer你好：


2014那个weight已经是资产价值变动的最终结果。 计算return应该是从起始日的权重开始算的。


2013一开始的weight固定了，后面之所以在2014产生了权重变化，那是由于Rfx和Rfc带来的，所以无论终止日是几月几号，我们计算return一定是以一开始0时刻的weight为准。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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