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chuziyang · 2022年12月19日

請問,

NO.PZ2018101901000066

问题如下:

An asset management firm generated the following annual returns in their US large-cap equity portfolio:


The 2012 return needed to achieve a trailing five-year geometric mean annualized return of 5% when calculated at the end of 2012 is closest to: (mo

选项:

A.

27.6%.

B.

17.9%.

C.

35.2%.

解释:


Holding period total return (cumulative) factor calculation through 2011:

(1 – 0.348) × (1 + 0.322) × (1 + 0.111) × (1 – 0.014) = 0.652 × 1.322 × 1.111 × 0.986 = 0.9442.

Compound total return (cumulative) factor at 5% per year of 5% for five years:

1.055 = 1.2763.

Return needed in 2012 to achieve a compound annualized return of 5%:

1.2763/0.9442 = 1.3517 = 35.2%.

Check: 0.944 × 1.352 = 1.276(1/5) = 1.050 = 5% annualized.

1.2763/0.9442 = 1.3517 = 35.2%. 請問1.3517爲何=35.2%,謝謝

1 个答案
已采纳答案

pzqa27 · 2022年12月20日

嗨,努力学习的PZer你好:


这里其实少写了一步,应该是1.3517-1=35.2%

因为(1 – 0.348) × (1 + 0.322) × (1 + 0.111) × (1 – 0.014)×(1+R)=(1+5%)^5

然后倒解R=35.2%

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