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🐳Sakura · 2020年01月08日

问一道题:NO.PZ2015121801000039

问题如下:

An investor evaluating the returns of three recently formed exchange-traded funds gathers the following information:

The ETF with the highest annualized rate of return is:

选项:

A.

ETF 1.

B.

ETF 2.

C.

ETF 3.

解释:

B  is correct.

The annualized rate of return for ETF 2 is 12.05% = (1.0110 52/5  )-1, which is greater than the annualized rate of ETF 1, 11.93% = (1.0461 365/ 146  )-1, and ETF 3, 11.32% = (1.1435 12/ 15  )-1. Despite having the lowest value for the periodic rate, ETF 2 has the highest annualized rate of return because of the reinvestment rate assumption and the compounding of the periodic rate.

在课件中,讲到HPR时,老师举例子,对6个月的HPR年化时采用R=HPR*360/t,对于超过一年的HPR年化时采用复利模式

本题中,说的是RETURN,应该是HPR,为什么解析对于一年以内的也采用了复利计算呢?

Thanks♪(・ω・)ノ

1 个答案

星星_品职助教 · 2020年01月08日

同学你好,

本题给出的returns是HPR的形式。

HPR如何年化并不取决于时间,而是取决于具体这种产品要用单利还是复利。例如求money market yield无论时间多久都要用单利形式。但类似本题就是复利形式。CFA里复利的情况用的更多一些。

🐳Sakura · 2020年01月08日

好的蟹蟹٩('ω')و可否提议请老师上课的时候加一下这个细节点呢?看有问必答里面对于HPR年化有疑问的同学蛮多的呢

星星_品职助教 · 2020年01月09日

好的,HPR的概念在不同科目的多个地方都有出现和应用,我统一整理视频的时候会关注一下。

🐳Sakura · 2020年01月19日

老师,在强化串讲里,这一块明确讲了一句“一年以内HPR使用单利计息”

星星_品职助教 · 2020年01月19日

HPR如何年化并不取决于时间,而是取决于具体这种产品要用单利还是复利。你说的视频时间给我一下,我去听一下

🐳Sakura · 2020年01月23日

portfolio: framework of portfolio risk and return part 1 5’50

🐳Sakura · 2020年01月23日

是基础班讲义,上一条写错了不是强化班

星星_品职助教 · 2020年01月23日

。。要标明几倍速下的5分50秒啊。。不过我把HPR这块全听了,里面不是讲的是如果单利,一般用360天,如果复利,一般用365天么

星星_品职助教 · 2020年01月23日

这个不用太纠结,HPR是跟着具体的产品走的,比如FRA就肯定是单利,其余大部分都是复利的形式。如果只是单纯的让算HPR年化的话,考试里会给出具体单利还是复利,不然没法算

🐳Sakura · 2020年01月23日

好的谢谢老师,星星新春快乐🎈

星星_品职助教 · 2020年01月24日

春节快乐~

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