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blade8932 · 2023年01月07日

老师，这道题貌似不能用定性的结论来解决，只能通过计算吗？

  1. CFA I
  2. Portfolio

NO.PZ2015121801000136

问题如下：

At the beginning of Year 1, a fund has $10 million under management; it earns a return of 14% for the year. The fund attracts another $100 million at the start of Year 2 and earns a return of 8% 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：

A is correct. Computation of the money-weighted return, r, requires finding the discount rate that sums the present value of cash flows to zero. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. The cash flows are as follows:
CF0 = -10
CF1 = -100
CF2 = +120.31

The terminal value is determined by summing the investment returns for each period [(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53%

The time-weighted return of the fund is = [(1.14)(1.08)] ^0.5-1= 10.96%

rt，如果可以用定性的结论，麻烦详细推演下，谢谢！

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1 个答案

pzqa27 · 2023年01月08日

嗨，努力学习的PZer你好：


推荐使用计算，因为这里的计算并不是人脑计算，既然使用计算器，也并不会花特别多的时间，这个题如果定性判断的话可与i看到第二年也就是回报率低的年份投入金钱多，所以IRR会比TWRR低一些

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努力的时光都是限量版，加油！

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