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苏·Xu · 2022年10月29日

问

  1. CFA I
  2. Portfolio

NO.PZ2017092702000030

问题如下：

At the beginning of Year 1, a fund has $10 million under management; it earns a return of 14% for the year. The fund attracts another $100 million at the start of Year 2 and earns a return of 8% for that year. The money-weighted rate of return is most likely:

选项：

A.

less than the time-weighted rate of return.

B.

the same as the time-weighted rate of return.

C.

greater than the time-weighted rate of return.

解释：

A is correct.

The money-weighted rate of return is found by setting the present value (PV) of investments into the fund equal to the PV of the fund’s terminal value. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. Set the PV of investments equal to the PV of the fund’s terminal value: 10+1001+r=10×1.14×1.08+100×1.08(1+r)210+\frac{100}{1+r}=\frac{10\times1.14\times1.08+100\times1.08}{{(1+r)}^2}   Solving for r results in r = 8.53%. The time-weighted return of the fund is =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.96

为什么这一题就要开平方，而上一题算over the there years 就不开三次方？该题目中哪里可以看出是问的每年的而不是over the two years?

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1 个答案

pzqa27 · 2022年11月01日

嗨，爱思考的PZer你好：


为什么这一题就要开平方，而上一题算over the there years 就不开三次方？

因为这里是2年

(1+EAR)^2=(1+S1)*(1+S2)

该题目中哪里可以看出是问的每年的而不是over the two years?

金融领域内一般都是算年化回报，很少有算total return的，况且这里是算time-weighted rate，这个一般默认是算年化的，当然您不算年化的回报率也行，那么比较的时候大家都不能是年化的，不然没有可比性

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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