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Olivia.W🌸 · 2024年02月21日

at the beginning of 1 year 有1000，那不是0时刻就应该1000了吗？怎么是0

  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% .

at the beginning of 1 year 有1000，那不是0时刻就应该1000了吗？怎么是0


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品职助教_七七 · 2024年02月22日

嗨，从没放弃的小努力你好：


表格的意思是上一年留下来的结余是0。

三行的意思分别是：该基金上一年结余是0；本年年初刚开始就收到了新的投资1,000；年初（0时刻）最终的金额是0+1,000=1,000.

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