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Katherine · 2024年02月20日

这题

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:


如果想用“再去收益率高的地方追加投资,MWR更高”这个的话,这题是不是需要在收益率14%的时候追加才能MWR大,如果像题目说的8%的地方追加就只能TWR大,是这样吗

1 个答案

品职助教_七七 · 2024年02月21日

嗨,爱思考的PZer你好:


如果想用“再去收益率高的地方追加投资,MWR更高”这个的话,这题是不是需要在收益率14%的时候追加才能MWR大,如果像题目说的8%的地方追加就只能TWR大,是这样吗----------------------是

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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!

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