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blade8932 · 2023年01月07日

老师,这道题可以直接算出IRR吗,我怎么觉得比较实际结果,IRR应该小于TWRR?

NO.PZ2018101901000065

问题如下:

At the beginning of Year 1, a fund has $1 million under management; it earns a return of 8% for the year. The fund attracts another $10 million at the start of Year 2 and earns a return of 15% 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:

解析:这道题考察的是MWRR的结果贴近于权重大的那一期的回报率。而TWRR是近似于中间值的。用这种方法就可以进行快速比较。

rt

老师麻烦详细解释下,谢谢!

1 个答案

pzqa27 · 2023年01月08日

嗨,努力学习的PZer你好:


这个题是考察IRR和TWRR的定义的,这个题给的第二年的投入比第一年大,并且第二年的回报率比第一年高一些,所以定性来说,可以推出IRR是大于TWRR的,当然这里保守点的话可以进行定量计算,也可以得到相同的结论

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