胡老师， 请教问题，谢谢。 return, annual, question, following

xieyingzi

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!

martinmeng

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！

胡老师

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