写作题答案在哪啊

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您现在的坐在位置：首页>智汇问答>CFA三级

181****12312023-08-11 06:32:59

写作题答案在哪啊

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回答（1）

Simon2023-08-11 13:00:40

同学，上午好。侧边栏里的就是写作题答案。

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追问（6）

追问

手机是不是看不到

追答

可能是屏幕的问题，电脑上可以看到。我把答案复制下来了，供参考。 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) + [½ × Convexity × (ΔYield)^2] = (–7.3 × 0.28% + ½ × 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 Tax-deferred accounts allow returns to accrue on a pretax basis until withdrawn, which can provide substantial compounding benefits

追问

可以解释下第一个计算吗？rebalancing ratio那个，没看懂

追答

同学，下午好。假设当前的money duration=10，我的目标money duration=12，那么我就需要重新调整久期，rebalance ratio=12/10=1.2。我在当前的资产基础上，还要再多配置20%。