标题: 胡老师， 请教问题，谢谢。 [打印本页]
作者: xieyingzi 时间: 2008-5-30 10:33 标题: 胡老师， 请教问题，谢谢。
Hi, 胡老师,
Please have a look at the following question, thanks!
The portfolio's annual time-weighted rate return is closest to:
A . 8%
B . 27%
C . 32%
D . 60%
Feedback：Correct
answer：
C .
Study
Sesslon2-6.c
The time - weighted rate of return is calculated by computing the
quarterly holding period returns and linking those returns into annual
return:
1.0909*0.9286*1.3333*0.9762=1.3185
1.3185-1=0.3185 or 31.85%.
I don't know how to get the annual retrun from quarterly return and why "1.0909*0.9286*1.3333*0.9762=1.3185
1.3185-1=0.3185", and then 31.85% is the annual rate, please answer, thanks!
作者: 胡老师 时间: 2008-5-30 11:13
time-weighted rate return 是几何平均收益率，通常的做法是连乘之后再开方，但是，这里你注意一下，是每个季度，四个季度构成了一年，所以不要开方了。计算出每个子期间的收益，比如第一个期间，2.4/2.2-1 就可以了
作者: martinmeng 时间: 2008-5-30 12:08
我昨天还想问这倒题呢！多谢胡老师和这位考生！
另外我还有个问题
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is an option-free bond's price sensitivity postively correlated with
bond's coupon rate? market interest rate?
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这题的答案说option-free bond's price sensitivity is negatively related to both rates
我觉得market interest rate 与 bond's price 负相关没问题， 但coupon rate 应该是正相关呀？coupon 越高债券价格当然应该更高。
如果用Duration 公式来判断也是这样： percentage change of bond price = - Duration * Yield change
coupon rate 与 duration 是负相关的，再加上前面的负号
那么coupon rate 与 价格就是正相关。
(我上面的理解有问题么？)
谢谢老师！
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