Question 4

The expected return of the following bond fund is ___ %.

Use 4 decimal places in your calculations. Round your answer to two decimal places.

Notional principal of portfolio (in millions)	415
Average bond coupon payment (per 100 par value)	4.00
Coupon frequency	Annual
Current average bond price	97
Expected average bond price in one year (assuming an unchanged yield curve)	97.48
Average bond convexity	0.17 keep at this value (do not scale) your calculations
Average bond modified duration	4.42
Expected average yield and yield spread change	-0.37%
Expected credit losses	0.40%
Expected currency gains (+) or losses (-)	-0.36%