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Felix Young · 2024年01月03日

Modified Dietz Formula VS 大额现金流法

  1. CFA III
  2. GIPS

NO.PZ2022010601000003

问题如下：

Use the information in the table below to answer this question (amounts are in Euros):


Use revaluing for large cash flows methodology (assuming “large” is defined as greater than 5%) to calculate the return on the portfolio in April, May, June, and the second quarter of 2021.

选项：

解释：

April:

RApr= (105,000 − 100,000)/100,000 = 5.00%

May:

RMay1- 17 = (112,000 − 105,000)/105,000 = 6.66%

RMay18- 31= (142,000 − 132,000)/132,000 = 7.58%

RMay1-31 = [(1 + 0.0666) × (1 + 0.0758)] − 1 = 14.74%

June:

RJune1- 20 == (150,000 − 142,000)/142,000 = 5.63%

RJune21- 30= (140,000 − 135,000)/135,000 = 3.7%

RJune1- 30= [(1 + 0.0563) × (1 + 0.0370)] − 1 = 9.54%

Quarter 2:

RQT2 = [(1 + 0.0500) × (1 + 0.1474) × (1 + 0.0954)] − 1 = 31.97%

return on the portfolio in April：5%

return on the portfolio in May： 14.9%=(142000-105000-20000)÷(105000+20000*14/31)

return on the portfolio in June：9.49%=(140000+15000-142000)÷(142000-15000*10/31)

return on the portfolio in second quarter of 2021 = (1+5%)(1+14.9%)(1+9.49%)-1=32.09%


想问下老师，我这里按整月计算，是不是就变成了- Modified Dietz Formula方式了？


这里提到了大额现金流，就应该按大额CF分隔开来、按月度内的sub period计算，然后再合并？

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1 个答案

伯恩_品职助教 · 2024年01月04日

嗨，努力学习的PZer你好：


想问下老师，我这里按整月计算，是不是就变成了- Modified Dietz Formula方式了？——怎么个整月法？和Modified Dietz Formula公式一样就是了，不是就压根就算的就不对。


这里提到了大额现金流，就应该按大额CF分隔开来、按月度内的sub period计算，然后再合并？——和大额无关，这个是给Modified Dietz Formula准备用的

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努力的时光都是限量版，加油！

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