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徜徉 · 2023年02月27日

关于何老师上课讲的结论

  1. CFA I
  2. Portfolio

NO.PZ2017092702000030

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.

The money-weighted rate of return is found by setting the present value (PV) of investments into the fund equal to the PV of the fund’s terminal value. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. Set the PV of investments equal to the PV of the fund’s terminal value: 10+1001+r=10×1.14×1.08+100×1.08(1+r)210+\frac{100}{1+r}=\frac{10\times1.14\times1.08+100\times1.08}{{(1+r)}^2}   Solving for r results in r = 8.53%. The time-weighted return of the fund is =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.96

何老师讲到说，如果有addition, MWRR大于TWRR。我不太理解什么时候能用，也不明白为什么这道题不能用。

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3 个答案

pzqa27 · 2023年09月27日

嗨，努力学习的PZer你好：


这是墨迹讲义第70页，没有关于MWRR和TWRR的内容。如果您有看到相关内容，请附上截图。



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努力的时光都是限量版，加油！

pzqa27 · 2023年09月26日

嗨，努力学习的PZer你好：


数量70页是分位点，我并没有看到有关MWRR和TWRR的讨论

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

115833 · 2023年09月26日

不好意思点赞手滑了。在墨迹版讲义70页何老师的板书写的。在基础班视频里边money-weighted-return最后何老师讲的。

pzqa27 · 2023年02月27日

嗨，从没放弃的小努力你好：


何老师讲到说，如果有addition, MWRR大于TWRR

那麻烦同学告知下是哪个视频的哪个时间段，实在抱歉我是没找到相应的言论

也不明白为什么这道题不能用。

先不论何璇的结论，这个题数据都给出来了，我们直接算一下2个回报率即可，具体过程解析已经写的比较详细了，算出来的结果基本上是没啥问题的

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加油吧，让我们一起遇见更好的自己！

115833 · 2023年09月25日

何老师在数量基础班讲义70页这样写的。第2年addtion,MWR>TWR 第2年with draw,MWR<TWR。同问这个是什么意思，什么时候可以直接用这样比较大小而不用算。

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NO.PZ2017092702000030问题如下the beginning of Ye1, a funh$10 million unr management; it earns a return of 14% for the year. The funattracts another $100 million the start of Ye2 anearns a return of 8% for thyear. The money-weighterate of return is most likely:A.less ththe time-weighterate of return. B.the same the time-weighterate of return. C.greater ththe time-weighterate of return.A is correct. The money-weighterate of return is founsetting the present value (PV) of investments into the funequto the PV of the funs terminvalue. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. Set the PV of investments equto the PV of the funs terminvalue: 10+1001+r=10×1.14×1.08+100×1.08(1+r)210+\frac{100}{1+r}=\frac{10\times1.14\times1.08+100\times1.08}{{(1+r)}^2}10+1+r100​=(1+r)210×1.14×1.08+100×1.08​ Solving for r results in r = 8.53%. The time-weightereturn of the funis =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.962(1.14)(1.08)​−1=10.96CF0 -10CF1 1.4-100CF2 100*0.08+10*0.08

2023-11-11 19:27 2 · 回答

NO.PZ2017092702000030 问题如下 the beginning of Ye1, a funh$10 million unr management; it earns a return of 14% for the year. The funattracts another $100 million the start of Ye2 anearns a return of 8% for thyear. The money-weighterate of return is most likely: A.less ththe time-weighterate of return. B.the same the time-weighterate of return. C.greater ththe time-weighterate of return. A is correct. The money-weighterate of return is founsetting the present value (PV) of investments into the funequto the PV of the funs terminvalue. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. Set the PV of investments equto the PV of the funs terminvalue: 10+1001+r=10×1.14×1.08+100×1.08(1+r)210+\frac{100}{1+r}=\frac{10\times1.14\times1.08+100\times1.08}{{(1+r)}^2}10+1+r100​=(1+r)210×1.14×1.08+100×1.08​ Solving for r results in r = 8.53%. The time-weightereturn of the funis =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.962(1.14)(1.08)​−1=10.96

2023-09-06 00:23 1 · 回答

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2022-11-20 20:37 1 · 回答

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2022-10-29 22:19 1 · 回答