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扑扑扑 · 2020年09月22日

问一道题：NO.PZ2015121801000039

  1. CFA I
  2. Portfolio

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.

请问一年什么时候看做365，什么时候看做360？以及annualized rate就是EAR吗？我记得EAR是真实的年利率，那还有个假的年利率是什么？

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3 个答案

星星_品职助教 · 2020年09月23日

@扑扑扑

都不是，年化利率就是把利率年化，既不是EAR也不是stated annual rate，后两者是数量里的概念，不会在组合里出现比较

星星_品职助教 · 2020年09月22日

@扑扑扑

年化利率是 annualized rate，是把期间利率年化后的结果；

EAR是有效年利率，stated annual rate是名义上的年利率。这两个是数量上的概念。

一般情况下都是复利，单利的情况很少，除非是特殊的产品如libor，FRA等。

星星_品职助教 · 2020年09月22日

同学你好，

单利用360，复利用365。具体一个产品用单利还是复利需要根据产品来定，例如LIBOR就是单利折现即360.

The annualized rate指得是“年化利率”，这是因为HPR算出来的是“期间利率”，这个利率对应的期限是投资期的期限，而不是一年。所以如果要求年化利率的话，需要把这个利率复利转化为一年的利率。

EAR是有效年利率，这个概念是个stated annual rate也就是你说的“假利率”所对应的，这是一个数量的概念，在这道题不需要往这个方向考虑。

扑扑扑 · 2020年09月22日

年化利率是指EAR还是stated annual rate呢？

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