NO.PZ2023052302000007
问题如下：
At the beginning of Year 1, a fund has USD10 million under management; it earns a return of 14 percent for the year. The fund attracts another net USD100 million at the start of Year 2 and earns a return of 8 percent for that year. The money-weighted rate of return of the fund is most likely to be:
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 money-weighted return will be biased
toward the performance of Year 2 when the return was lower. 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)]
This results in a value of IRR = 8.53 percent.
The time-weighted return of the fund is calculated as follows:
老师计算MWR时，CF1为什么不是100+11·4
