181****1231
2023-08-11 06:32寫作題答案在哪啊
所屬：CFA Level III > Fixed-Income Portfolio 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
Simon助教
2023-08-11 13:00
該回答已被題主采納
同學(xué)，上午好。側(cè)邊欄里的就是寫作題答案。
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追問
手機是不是看不到
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追答
可能是屏幕的問題，電腦上可以看到。我把答案復(fù)制下來了，供參考。
A. Calculate the amount in USD required to rebalance the portfolio’s money duration.
Money Duration = Mod Duration × Market Value × 0.01
Bond 1 = 12.15 × $1,250,000 × 0.01 = $151,875
Bond 2 = 10.67 × $2,450,000 × 0.01 = $261,415
Bond 3 = 9.40 × $1,545,000 × 0.01 = $145,230
Bond 4 = 4.57 × $4,180,000 × 0.01 = $191,026
Portfolio’s money duration = $749,546
Rebalancing ratio = Desired money duration / Current money duration
Rebalancing ratio = $800,000 / $749,546 = 1.067313
Cash requirement = (Rebalancing ratio – 1) × Market value of portfolio
Cash requirement = 0.067313 × $9,425,000 = $634,425 -
追答
B. Calculate the total expected return of the UK portfolio in USD.
E(R) = coupon income +/– rolldown return +/– price change due to investor’s benchmark yield view +/– price change due to investor’s view of credit spread +/– currency gains/losses
Coupon income = 6.20 / 92.28 = 6.72%
Rolldown return = 92.68 / 92.28 – 1 = 0.43%
Price change due to investor’s benchmark yield view = (–MD × ΔYield) + [? × Convexity × (ΔYield)^2]
= (–7.3 × 0.28% + ? × 32.5 × (0.28%)^2) = –2.03%
Credit losses = –0.05%
Currency gains = 0.16%
Expected total return = 6.72% + 0.43% – 2.03% – 0.05% + 0.16% = 5.23% -
追答
C. Contrast the treatment of fixed income securities in taxable and tax-deferred accounts.
The two primary sources of investment income that affect taxes for fixed income securities are coupon payments (interest income) and capital gains or losses. Taxes are payable only on capital gains and interest income that have actually been received.
Coupon payments (interest income) are typically taxed at the investor’s ordinary income tax rate, which is usually higher than the capital gains tax rate.
In taxable accounts, taxes are paid on an annual basis, whereas, in tax-deferred accounts, taxes are deferred until fund withdrawal from the accounts.
Tax-deferred accounts allow returns to accrue on a pretax basis until withdrawn, which can provide substantial compounding benefits -
追問
可以解釋下第一個計算嗎？rebalancing ratio那個，沒看懂
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追答
同學(xué)，下午好。
假設(shè)當(dāng)前的money duration=10，我的目標(biāo)money duration=12，那么我就需要重新調(diào)整久期，rebalance ratio=12/10=1.2。我在當(dāng)前的資產(chǎn)基礎(chǔ)上，還要再多配置20%。
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