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夏虫 · 2024年01月23日

这道题没看懂是在考察什么

  1. CFA I
  2. Quantitative

NO.PZ2022123001000150

问题如下：

A fund receives investments at the beginning of each year and generates returns for three years as follows:

Exhibit 1: Investments and Returns for Three Years

Which return measure over the three-year period is negative?

选项：

A.

Geometric mean return

B.

Time-weighted rate of return

C.

Money-weighted rate of return

解释：

C is correct. The money-weighted rate of return considers both the timing and amounts of investments into the fund. To calculate the money-weighted rate of return, tabulate the annual returns and investment amounts to determine the cash flows.

CF0 = –USD1,000, CF1 = –USD2,850, CF2 = –USD40,440, CF3 = +USD43,200.

CF0 = − 1, 000 CF1 = − 2, 850 CF2 = − 40, 440 CF3 = + 43, 200

Solving for IRR results in a value of IRR = −2.22 percent.

Note that A and B are incorrect because the time-weighted rate of return (TWR) of the fund is the same as the geometric mean return of the fund and is positive:

RT W = [(1.15) (1.14) (0.96)]1/3 − 1 = 7.97% .

A fund receives investments at the beginning of each year and generates returns for three years as follows:

Exhibit 1: Investments and Returns for Three Years

Which return measure over the three-year period is negative?

您的回答A, 正确答案是: C

A

不正确Geometric mean return

B

Time-weighted rate of return

C

Money-weighted rate of return

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1 个答案

品职助教_七七 · 2024年01月23日

嗨，努力学习的PZer你好：


这道题考察以下列选项中的哪一种方式来计算三年的return，算出来的结果是负数。

理论上应该按照选项中的三种方式来逐一计算三年的return，再看哪个是负值。但是，这道题直接选C就可以。因为A选项的几何平均和B选项的Time-weighted rate of return是相同的。所以为负的只有可能是C选项。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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