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%.
17.9%.
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= 0.3517 = 35.2%.
Check: 0.944 × 1.352 = 1.276(1/5) =
1.050 = 5% annualized.
RT
