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Ethan · 2022年03月31日

expected return中汇率影响的计算

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000802

问题如下：

A US-based fixed-income portfolio manager is examining unhedged investments in Thai baht (THB) zero-coupon government bonds issued in Thailand and is considering two investment strategies:

  • Buy-and-hold: Purchase a 1-year, THB zero-coupon bond with a current yield-to-maturity of 1.00%.
  • Roll down the THB yield curve: Purchase a 2-year zero-coupon note with a current yield-to-maturity of 2.00% and sell it in a year.
THB proceeds under each strategy will be converted into USD at the end of the 1-year investment horizon. The manager expects a stable THB yield curve and that THB will appreciate by 1.5% relative to USD.

The following information is used to analyze these two investment strategies:



The total expected return over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项：

A.

2.515% for the Buy-and-Hold portfolio and 4.555% for the Yield Curve rolldown portfolio, respectively.

B.

2.42% for the Buy-and-Hold portfolio and 4.51% for the Yield Curve Rolldown portfolio, respectively.

C.

2.491% for the Buy-and-Hold portfolio and 3.59% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct. Under a static yield curve assumption, expected returns are equal to rolldown return plus changes in currency over the investment horizon.

Expected returns are:

Buy and Hold: E(R) = 2.515%, or (1.01 × 1.015) – 1

Yield Curve Rolldown: E(R) = 4.555%, or (1.0301 × 1.015) - 1

请问汇率的影响什么时候用+算 什么时候用*算？有的题目用加有的用乘，考试的时候咋分辨？

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已采纳答案

pzqa015 · 2022年04月02日

嗨，爱思考的PZer你好：


考试中先用*的算法，如果没有正确选项，就用+的算法。

如果是主观题，要用*的方法


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pzqa015 · 2022年03月31日

嗨，爱思考的PZer你好：


如果题目给了汇率信息，且让及算total return，是一定要考虑汇率变动的。

如果没给汇率信息，就不用考虑


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