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三三 · 2024年06月19日

这个题目如果想计算time-weighted return，如何计算呀？

  1. CFA I
  2. Portfolio

NO.PZ2015121802000019

问题如下：

Calculate the periodic money-weighted rate of return on the investment based on the following information:

At t=0, buy a share of stock for $45.

At t=1, buy another share of the same stock for $55.

At t=2, sell both shares at $65 for each share

The stock paid a dividend of $1 per share at t = 1 and at t =2.

选项：

A.

23.8%.

B.

22.0%.

C.

21.5%

解释：

C is correct.

Use calculator's cash flow functions and follow the steps as: CF0 = -45; CF1 = -55+ 1 = -54; CF2 = 65 x 2 + 2 = 132; CPT IRR =21.5%.

如题，谢谢 :)

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已采纳答案

Kiko_品职助教 · 2024年06月19日

嗨，爱思考的PZer你好：


TWRR计算的话需要计算出每个时刻的收益率。

t=1 r=（55-45+1）/45=24.4%

t=2 r=（65-55+1+65-55+1）/（55+55）=20%

（1+TWRR）²=（1+24.4%）（1+20%）求出TWRR=22.18%


不过，24年考纲已经删除了TWRR和MWRR的计算，可以忽略了。稍后会把题目做下架处理。



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