178****3862
2024-03-24 19:28沒有理解這個(gè)是什么意思The weighted cross-productis equal to –0.005%
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(gè)回答
Simon助教
2024-03-25 09:10
該回答已被題主采納
同學(xué)，上午好。 –0.005% 是外匯和asset的交叉項(xiàng)。
這道題是把total return給展開了（見截圖，把Rfx，Rfc 給剝離了）
在計(jì)算total return時(shí)，把公式：SUM （weight*（1+RFC）*（1+RFX））-1，進(jìn)行展開，就是以下三部分的和：
The weighted asset return is equal to 5.5%, calculated as follows:
(0.50 × 10.0%) + (0.25 × 5.0%) + [0.25 × (–3.0%)] = 5.5%.
The weighted currency return is equal to 1.5% calculated as follows:
(0.50 × 0.0%) + (0.25 × 2.0%) + (0.25 × 4.0%) = 1.5%.（這部分是純外匯）
The weighted cross-productis equal to –0.005%, calculated as follows:
[0.50 × (10.0% × 0.0%)] + [0.25 × (5.0% × 2.0%)] + [0.25 × (–3.0% × 4.0%)] = –0.005%.（這部分是外匯和asset的交叉項(xiàng)）
所以外匯的貢獻(xiàn)是1.5%+-0.005%=1.495%≈1.5%。
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