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
Time-weighted rate of return
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