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Helen 🎈 · 2024年02月26日

老师，请问我这么算不对吗？

  1. CFA I
  2. Portfolio

NO.PZ2017092702000029

问题如下：

A fund receives investments at the beginning of each year and generates returns as shown in the table.

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. The investment at the beginning of Year 1 will be worth $1,000(1.15)(1.14)(0.96) = $1,258.56 at the end of Year 3. The investment made at the beginning of Year 2 will be worth $4,377.60 = $4,000(1.14)(0.96) at the end of Year 3. The investment of $45,000 at the beginning of Year 3 decreases to a value of $45,000 (0.96) = $43,200 at the end of Year 3. Solving for r,

1,000+4,0001+r+45,000(1+r)2=1,258+4,337.60+43,200(1+r)31,000+\frac{4,000}{1+r}+\frac{45,000}{{(1+r)}^2}=\frac{1,258+4,337.60+43,200}{{(1+r)}^3}

results in r = –2.08%

Note that B is 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 thus positive: TWR = √ 3 (1.15) (1.14) (0.96) - 1 = 7.97%

跟答案完全不一样？可以告知我这算的是啥吗。。。蒙的


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1 个答案

Kiko_品职助教 · 2024年02月27日

嗨，努力学习的PZer你好：


上面你用的是求TWRR的方法，但是没算对，右面的1+R需要开三次根号。最后算出来答案是7.97%

下面你把这个题目复杂化了，题目中给出了amount of investment，直接给了投资的现金流，所以求MWRR直接用就可以了。你这个算法，是把条件当成了账户中的金额，然后按照账户中的金额来推算出现金流，跟基础班那道例题的做法是类似的。

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