You are an American with a holding in Japan that moved up in value from 100 to 125 CAD and at the same time the Japanese currency depreciated by 10%. (100 JPY/USD to 90 JPY/USD)
State what are the:
Total Return
Local Return
Return segmented by capital gains, currency and yield.作者: oneboy 时间: 2011-7-11 19:51
Total Return = 25% - 10% + (.25*-.1) = 12.5%
Local return = 25%
Cap gains = 25%
curreny = -10%
interaction between CG and currency = -2.5%作者: aidebaobao 时间: 2011-7-11 19:51
Trick question, you gave us an asset return measured in CAD and FX returns in USD.
NO EXCUSES作者: Zestt 时间: 2011-7-11 19:51
Am I right if Japan currency = CAD?? haha作者: mcmc 时间: 2011-7-11 19:51
Sorry CAD is supposed to be JPY.
And believe it or not originally the question I wrote had Mexican Pesos in there!作者: bpdulog 时间: 2011-7-11 19:51
It appears as if the Japanese Yen appreciated and not depreciated as stated in the question.作者: bboo 时间: 2011-7-11 19:51
Soccertom9 Wrote:
-------------------------------------------------------
> You are an American with a holding in Japan that
> moved up in value from 100 to 125 CAD and at the
> same time the Japanese currency depreciated by
> 10%. (100 JPY/USD to 90 JPY/USD)
>
> State what are the:
>
> Total Return
> Local Return
> Return segmented by capital gains, currency and
> yield.
Please correct your question...USD or JPY, which one depreciates?作者: jmh530 时间: 2011-7-11 19:51
Edited 1 time(s). Last edit at Friday, May 27, 2011 at 01:47PM by Paraguay.作者: liangfeng 时间: 2011-7-11 19:51
You are an American with a holding in Japan that moved up in value from 100 to 125 JPY and at the same time the Japanese currency depreciated by 10%. (100 JPY/USD to 110 JPY/USD)
State what are the:
Total Return
Local Return
Return segmented by capital gains, currency and yield.
Total return: R=(125/100)*[(1/110)/(1/100)]-1=1.136-1=13.6%
Local return=125/100-1=25%
deriv108 Wrote:
-------------------------------------------------------
> You are an American with a holding in Japan that
> moved up in value from 100 to 125 JPY and at the
> same time the Japanese currency depreciated by
> 10%. (100 JPY/USD to 110 JPY/USD)
>
> State what are the:
>
> Total Return
> Local Return
> Return segmented by capital gains, currency and
> yield.
>
> Total return:
> R=(125/100)*[(1/110)/(1/100)]-1=1.136-1=13.6%
> Local return=125/100-1=25%
>
> R(cg)=25%
> R(currency)=13.6%-25%=-11.4%
> R(yield)=0
I hate their rounding, it is so very inconsistent.
In 2000 exam they had a PV factor that was taken out 9 places. 9 places. At least 2 places after the decimal seems logical however.作者: Valores 时间: 2011-7-11 19:51
I came up with the same thing:
Total Return = 13.6%
Local Return = 25%
Return segmented by capital gains, currency and yield.
JPY's depreciation: 100/110-1 = -9.1%, which is not exactly -10%.
Currency question could be very tricky, like this one.作者: infinitybenzo 时间: 2011-7-11 19:51
Paraguay Wrote:
-------------------------------------------------------
> deriv108 Wrote:
> --------------------------------------------------
> -----
> > You are an American with a holding in Japan
> that
> > moved up in value from 100 to 125 JPY and at
> the
> > same time the Japanese currency depreciated by
> > 10%. (100 JPY/USD to 110 JPY/USD)
> >
> > State what are the:
> >
> > Total Return
> > Local Return
> > Return segmented by capital gains, currency and
> > yield.
> >
> > Total return:
> > R=(125/100)*[(1/110)/(1/100)]-1=1.136-1=13.6%
> > Local return=125/100-1=25%
> >
> > R(cg)=25%
> > R(currency)=13.6%-25%=-11.4%
> > R(yield)=0
>
> I hate their rounding, it is so very inconsistent.
>
>
> In 2000 exam they had a PV factor that was taken
> out 9 places. 9 places. At least 2 places after
> the decimal seems logical however.
Agreed...I believe your approach is much faster, but it's too late for me to learn your way to solve this kind of problem. The result look the same.作者: Unforseen 时间: 2011-7-11 19:51
deriv108 Wrote:
-------------------------------------------------------
> Paraguay Wrote:
> --------------------------------------------------
> -----
> > deriv108 Wrote:
> >
> --------------------------------------------------
>
> > -----
> > > You are an American with a holding in Japan
> > that
> > > moved up in value from 100 to 125 JPY and at
> > the
> > > same time the Japanese currency depreciated
> by
> > > 10%. (100 JPY/USD to 110 JPY/USD)
> > >
> > > State what are the:
> > >
> > > Total Return
> > > Local Return
> > > Return segmented by capital gains, currency
> and
> > > yield.
> > >
> > > Total return:
> > > R=(125/100)*[(1/110)/(1/100)]-1=1.136-1=13.6%
> > > Local return=125/100-1=25%
> > >
> > > R(cg)=25%
> > > R(currency)=13.6%-25%=-11.4%
> > > R(yield)=0
> >
> > I hate their rounding, it is so very
> inconsistent.
> >
> >
> > In 2000 exam they had a PV factor that was
> taken
> > out 9 places. 9 places. At least 2 places
> after
> > the decimal seems logical however.
>
> Agreed...I believe your approach is much faster,
> but it's too late for me to learn your way to
> solve this kind of problem. The result look the
> same.
As long as you know how to get the answer that is all that matters.作者: IAmNeil 时间: 2011-7-11 19:51
FML I suck at this.
When do we use that lovely formula for total return????
local return + foreign currency appreciation + (local ret*foreign currency)
seems like this would have been the question for that....
..USD or JPY, which one depreciates?