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Shawnxz · 2021年08月15日

没太看懂题目

  1. CFA III
  2. Asset Allocation

* 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%).

题目中不是已知Portfolio A的回报率是19.5% (是以GBP计价)， Portfolio B是0 (以美元计价)。这种情况下，问题中又提了Portfolio A的回报率是15%是什么意思？

另外，通过题干不是就能解决问题了吗？GBP的 return高，钱会涌入GBP, 导致GBP升值，USD贬值吗？

答案的解题逻辑是什么？

谢谢

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pzqa015 · 2021年08月15日

嗨，努力学习的PZer你好：


Portfolio A and portfolio B are managed in the US and performance is measured in terms of the USD.这句话的意思是A和B是USD计价的portfolio，后面说A投资GBP资产，B投资EUR资产。

 

19.5%是Aportfolio以USD计价的收益率（domestic currency return)，也就是RDC。

表格展示的是RFC(也就是以GBP计价的收益率）。

根据RDC=RFC+Rfx这个公式（RDC=(1+RFC)(1+RFX)-1的简化形式）。

RDC=19.5%,RFC=15%,所以RFX＞0，而RFX的表达形式为USD/GBP，所以GBP升值，USD贬值，这是这道题想得到的结论。

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