Lynn
2022-03-30 19:33如果用總收益7%減去純資產(chǎn)部分的加權(quán)收益5.5%，剩下1.5%就是匯率貢獻，與答案1.495%對不上呢？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
開開助教
2022-03-31 11:09
該回答已被題主采納
同學你好，題目問foreign currency 對total return的貢獻。
賬戶的total return R_DC = (1+R_FC) (1+R_FX)-1=R_FC+R_FX+R_FC*R_FX,為7%
foreign currency對B同學賬戶total return的貢獻應該包括R_FX和后面的交叉項R_FC*R_FX
此處因為B的組合有三種貨幣，其中歐元和日元是外幣。我們可以計算出加權(quán)平均的R_FC和R_FX
R_FC = (0.50 × 10.0%) + (0.25 × 5.0%) + [0.25 × (–3.0%)] = 5.5%.
R_FX = (0.50 × 0.0%) + (0.25 × 2.0%) + (0.25 × 4.0%) = 1.5%
R_FC*R_FX = [0.50 × (10.0% × 0.0%)] + [0.25 × (5.0% × 2.0%)] + [0.25 × (–3.0% × 4.0%)] = –0.005%，
因此，foreign currency 對total return（7%）的貢獻 = R_FX +R_FC*R_FX =1.5% -0.005%=1.495%，約等于1.5%
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