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QE_erica · 2022年11月20日

不用直接计算的方法

  1. CFA I
  2. Portfolio

NO.PZ2015121801000135

问题如下：

A fund receives investments at the beginning of each year and generates returns
as shown in the table.


Which return measure over the three-year period is negative?

选项：

A.

Geometric mean return

B.

Time-weighted rate of return

C.

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

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1 个答案

pzqa27 · 2022年11月20日

嗨，从没放弃的小努力你好：


是的，的确如此，MWRR在计算中是考虑到每一期的现金流的，因此当亏损年份出现较大现金流时，很有可能会拉低整体的回报率

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