NO.PZ201812020100000205
问题如下：
Based on Exhibit 2, the total expected return of the fund’s global bond portfolio is closest to:
选项：
A.0.90%.
B.2.20%.
C.3.76%.
解释：
B is correct .
The total expected return is calculated as:
Total expected return = Rolling yield + E(Change in price based on investor’s yield and yield spread view) – E(Credit losses) + E(Currency gains or losses) Rolling yield = Yield income + Rolldown return
计算change in price based on yield and yield spread，直接用5.19*0.15%不行吗，为什么要考虑convexity变化？
