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陈杰森 · 2024年07月27日

含large cash flow月份的计算公式

  1. CFA III
  2. GIPS

NO.PZ2022010601000003

问题如下：

Use the information in the table below to answer this question (amounts are in Euros):


Use revaluing for large cash flows methodology (assuming “large” is defined as greater than 5%) to calculate the return on the portfolio in April, May, June, and the second quarter of 2021.

选项：

解释：

April:

RApr= (105,000 − 100,000)/100,000 = 5.00%

May:

RMay1- 17 = (112,000 − 105,000)/105,000 = 6.66%

RMay18- 31= (142,000 − 132,000)/132,000 = 7.58%

RMay1-31 = [(1 + 0.0666) × (1 + 0.0758)] − 1 = 14.74%

June:

RJune1- 20 == (150,000 − 142,000)/142,000 = 5.63%

RJune21- 30= (140,000 − 135,000)/135,000 = 3.7%

RJune1- 30= [(1 + 0.0563) × (1 + 0.0370)] − 1 = 9.54%

Quarter 2:

RQT2 = [(1 + 0.0500) × (1 + 0.1474) × (1 + 0.0954)] − 1 = 31.97%

The return of April: (105000-100000)/100000=5%

The return of May: (112000/105000)*(142000/132000)-1=14.75%

The return of June: (150000/142000)*(140000/135000)-1=9.55%

The return of second quarter of 2021: (1+5%)(1+14.75%)(1+9.55%)-1=31.99%

5月、6月用上述公式计算出来与答案有尾差，导致最终答案略大，请问主观题时是否还是按答案的步骤计算？

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伯恩_品职助教 · 2024年07月28日

嗨，从没放弃的小努力你好：


没事，目前来看GIPS不太可能考主观题，只要计算出来答案差距不太大就没问题

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NO.PZ2022010601000003 问题如下 Use the information in the table below to answer this question (amounts are in Euros):Use revaluing for large cash flows methology (assuming “large” is finegreater th5%) to calculate the return on the portfolio in April, May, June, anthe seconquarter of 2021. April: RApr= (105,000 − 100,000)/100,000 = 5.00%May: RMay1- 17 = (112,000 − 105,000)/105,000 = 6.66% RMay18- 31= (142,000 − 132,000)/132,000 = 7.58% RMay1-31 = [(1 + 0.0666) × (1 + 0.0758)] − 1 = 14.74%June: RJune1- 20 == (150,000 − 142,000)/142,000 = 5.63% RJune21- 30= (140,000 − 135,000)/135,000 = 3.7% RJune1- 30= [(1 + 0.0563) × (1 + 0.0370)] − 1 = 9.54%Quarter 2: RQT2 = [(1 + 0.0500) × (1 + 0.1474) × (1 + 0.0954)] − 1 = 31.97% RJune1- 20 == (150,000 − 142,000)/142,000 = 5.63%RJune21- 30= (140,000 − 135,000)/135,000 = 3.7%这里的思路是不是TWR？要不要考虑每一期现金流发生的时间占比？

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