sabrinamao · 2020年03月04日
* 问题详情，请 查看题干
问题如下：
Based on Exhibit 3, the 1-year expected return of the Buy-and-Hold portfolio for the Cefrino Australian government bond portfolio is closest to:
选项：
A.0.83%.
B.1.08%.
C.2.22%
解释：
B is correct.
The total expected return is calculated as:
Total expected return = Yield income + Rolldown return = Rolling yield + E (currency gains or losses).
能麻烦您把计算过程写一下么，怎么也算不对结果，谢谢
发亮_品职助教 · 2020年03月04日
嗨，努力学习的PZer你好：
利用收益率分解公式，Expected return decomposition model，一共有5项：
1、Yield income = Annual coupon / Current Price = 1.40 / 99.75 = 1.4035%
2、Rolldown return = (Ending price - beginning price)/begginning price = (100-99.75)/99.75 = 0.2506%
其中 Rolling yield = yield income + rolldown return = 1.4035% + 0.2506% = 1.6541%
3、因为债券是持有至到期，到期金额就是面值，所以利率的改变对债券卖出价格的影响为0，于是
E(Change in price based on investor's views of yields and yield spreads) = 0，其实这道题的表格里也没给出利率的变化，所以利率的变化为0，如果这个债券不是持有至到期，这项依然为0.
4、E(Credit losses)题目没说，认为是0
5、E(Currency gains or losses) = -0.57%
所以Expected return = 1.6541% - 0.57% = 1.0841%
-------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
1.08%. 2.22% B is correct. The totexpectereturn is calculateas: Totexpectereturn = Yielincome + Rollwn return = Rolling yiel+ E (currengains or losses).buy anhol期末不就直接拿回本金了吗，又不卖出，和期末的市场价格有什么关系？为什么要算roll wn return啊？直接用YTM减去currenloss不就可以了吗？
Buy anHol债券为什么要算roll-wnreturn？HTM债券的收益不考虑市值的变化啊。这个roll-wn return不就是把市价变化考虑进来了吗？
为什么持有到期的收益率不直接是YTM
