NO.PZ2015121801000135
问题如下:
A fund receives investments at the beginning of each year and generates returns
as shown in the table.
选项:
A.Geometric mean return
Time-weighted rate of return
Money-weighted rate of return
解释:
C is correct. The money-weighted rate of return considers both the timing and amounts of investments into the fund. To calculate the money-weighted rate of return, tabulate the annual returns and investment amounts to determine the cash flows
CF0 = –$1,000, CF1 = –$2,850, CF2 = –$40,440, CF3 = +$43,200
Each cash inflow or outflow occurs at the end of each year. Thus, CF0 refers to the cash flow at the end of Year 0 or beginning of Year 1, and CF3 refers to the cash flow at end of Year 3 or beginning of Year 4. Because cash flows are being
discounted to the present—that is, end of Year 0 or beginning of Year 1—the period of discounting CF0 is zero whereas the period of discounting for CF3 is 3 years. Results in a value of r = –2.22%
Note that B is incorrect because the time-weighted rate of return (TWR) of the fund is the same as the geometric mean return of the fund and is thus positive
请问老师
记得何老师上课的时候说过TWRR 比MWRR更准确,是因为MWRR会被现金流大的period更多的权重,所以会有偏差被带偏。
这个题目亏损的第三年现金流明显比其他的年份都大,因此会被带偏,出现负数的几率会更高,请问是这样的吗