Break Even Analysis computing, advantage, question, example, currency

Chuckrox8

Hi all,

I'm sure I came across a question in one of the Schweser exams that relied on currency appreciation/depreciation IN ADDITION to the yield advantage/disadvantage for the highest duration bond when computing the price change. However, this isn't mentioned in the CFA text.

For example (1 year horizon)

Australia: Bond A Yield: 5% Duration: 5
Brazil: Bond B Yield: 4% Duration 3

Australia has a yield advantage of 1% hence price depreciation of 1%, divide by -5 = 0.2%

All fine so far, but would this change if the Exchange rates moved during the investment horizon?

Thanks.