Foreign Portfolio 2 Returns Risk For Credit FP2 Peruvian Investor PEN Short

Foreign portfolio 2 returns risk for credit fp2

This preview shows page 2 - 9 out of 37 pages.

Foreign Portfolio #2 Returns & Risk For Credit FP#2 : Peruvian Investor ( PEN ), Short Assume assets are priced in an integrated global market
Image of page 2

Subscribe to view the full document.

0.5 / 0 pts Question 1 The stock data for FP#2 is denominated in: ( 0.5pt ) USD PEN CNY Correct! Correct! 2 / 0 pts Question 2 Answer 1: Answer 2: The return on the Peruvian's short position in Synopec is: ( 3pt ) a ) The capital gain or loss, p = % b ) The dividend yield, d = % c ) HPR = R = % 483.8609-448.1408 -1.3409/483.8609 (483.8609-448.140 fp#2 fp#2 fs fs 483.8609-448.1408/483.8609*.62 = .119070 Pfp#2 = 11.907% You Answered You Answered (483.8609-448.1408)/(483.8609*0.62) = 11.9069% orrect Answer orrect Answer 11.9069% orrect Answer 11.9069 orrect Answer orrect Answer -1.3409/483.8609 * .62 = -.004470 dfp#2 = -.447% You Answered You Answered -2.7888/(483.8609*0.62) = -0.9296% orrect Answer orrect Answer
Image of page 3
Answer 3: -0.9296% orrect Answer orrect Answer (483.8609-448.1408-1.3409)/483.8609*.62 = .114600 Rfs = 11.46% You Answered (483.8609-448.1408-2.7888)/(483.8609*0.62) = 10.9773% orrect Answer orrect Answer 10.9773% orrect Answer orrect Answer 10.9773 orrect Answer orrect Answer 11.9069% -0.9296% = 10.9773% orrect Answer orrect Answer (483.8609-448.1408-2.7888)/(483.8609*0.62) = 10.9773% 0.5 / 0 pts Question 3 Considering Foreign Portfolio#2 ( fp#2 ) , the relevant exchange rate for the Peruvian investor is: ( 0.5pt ) CNY/PEN PEN/CNY Correct! CNY/USD PEN/USD 3 / 0 pts Question 4 Calculate the relevant cross-rates for the Peruvian investor on: ( 3pts )
Image of page 4

Subscribe to view the full document.

Answer 1: Answer 2: a ) 15-Mar (t = 0): FX = b ) 10-May (t =8): FX = .1506/.3138 = S/.47 .1468/.3011 = S/.48 o 8 .1506/.3138 = S/.4799/¥ You Answered You Answered PEN 0.4799/CNY orrect Answer 0.4799 PEN/CNY orrect Answer orrect Answer .1468/.3011 = S/.4875/¥ You Answered You Answered PEN 0.4875/CNY orrect Answer orrect Answer 0.4875 PEN/CNY orrect Answer a ) PEN/CNY = (USD/CNY)/(USD/PEN) = 0.1506/0.3138 = 0.4799 PEN/CNY b ) PEN/CNY = 0.1468/0.3011 = 0.4875 Note : Given USD/CNY and USD/PEN, we need to find PEN/CNY. To put PEN in the numerator, we need the reciprocal of USD/PEN, i.e. 1 /( USD / PEN ) = PEN/USD. Therefore, on 15-Mar : PEN/USD = 1/0.3138 = 3.1867 and PEN/CNY = PEN/USD * USD/CNY PEN/CNY = 3.1867 * 0.1506 = 0.4799 CNY Pip = 4 2 / 0 pts Question 5
Image of page 5
Calculate the return on the foreign currency investment for the Peruvian investor, fx#2 . ( 2pt ) ](.4875 - .4799)/.4799] = .015837 fx#2 = .015837*100 = 1.5837% You Answered You Answered orrect Answers orrect Answers (0.4875-0.4799)/0.4799 = 1.5837% 1.5837% 0.015837 R = (0.4875-0.4799)/0.4799 = 1.5837% fx#2 0.5 / 0 pts Question 6 The return on the foreign currency, fx#2 , implies: ( 0.5pts ) the yuan has appreciated against the sol Correct! Correct! the yuan has depreciate against the sol 0.5 / 0 pts Question 7 Calculate the total return on the Peruvian investor's foreign portfolio#2 , R after converting back to the sol. ( 1pt ) fp#2 .11907 - .00447 +[.015837(1+.11907 -.00447)] = .141192 Rfp#2 = .141192*1 You Answered You Answered orrect Answers orrect Answers 0.127398
Image of page 6

Subscribe to view the full document.

12.7398% RFP#2 = 0.109773 + (0.015882*1.109773) = 12.7398% .127398 p = 11.9069% d = - 0.9296% R = 1.5882% R = 0.119069 - 0.009296 + (0.015634*(1+0.119069 - 0.009296) = 12.7398% fs#2 fs#2 fx#2 FP#2 1.5 / 0 pts Question 8 Calculate the standard deviation of the foreign currency ROPC for the Peruvian investor. ( 1.5pt ) = Note : First calculate cross-rates for each time period , then determine the ROPC . fx#2 14.5416% Correct! Correct! orrect Answers orrect Answers 14.5416% =Stdev.p(PEN/CNY, Long, ROPC) = 14.5416%
Image of page 7
=STDEV.P( PEN/CNY , Long , ROPC ) = 14.5416% To show your work for excel calculations : Write the excel formula and provide the name , the position and the type of variable inserted.
Image of page 8

Subscribe to view the full document.

Image of page 9
  • Spring '18

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern

Ask Expert Tutors You can ask 0 bonus questions You can ask 0 questions (0 expire soon) You can ask 0 questions (will expire )
Answers in as fast as 15 minutes