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EmilyZhou · 2024年05月28日

第二行怎么算出来？

  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% .

第二行new investment 怎么算出来？

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1 个答案

品职助教_七七 · 2024年05月28日

嗨，爱思考的PZer你好：


New investment根据 每年的年初金额 和 上一年年度年末金额 之间的差值得出。

首年年初有1,000，说明此时new investment就是1,000；

第一年收益率为15%，所以年末金额为1,000*（1+15%）=1,150。但表格中第二年年初的金额显示为4,000，所以说明第二年年初又流入了4,000-1,150=2,850;

第二年收益为14%，此时年初金额已经变为4,000了，所以年末金额为4,000*（1+14%）=4,560。但表格中第三年年初的金额显示为45,000，所以说明第三年年初又流入了45,000-4,560=40,440。

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