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Tututu · 2024年10月18日

不是第一笔是addition的话， MWR 大于 TWR

  1. CFA I
  2. Quantitative

NO.PZ2023052302000007

问题如下：

At the beginning of Year 1, a fund has USD10 million under management; it earns a return of 14 percent for the year. The fund attracts another net USD100 million at the start of Year 2 and earns a return of 8 percent for that year. The money-weighted rate of return of the fund is most likely to be:

选项：

A.

less than the time-weighted rate of return

B.

the same as the time-weighted rate of return

C.

greater than the time-weighted rate of return.

解释：

A is correct. Computation of the money-weighted return, r, requires finding the discount rate that sums the present value of cash flows to zero. Because most of the investment came during Year 2, the money-weighted return will be biased

toward the performance of Year 2 when the return was lower. The cash flows are as follows:

CF0 = −10

CF1 = −100

CF2 = +120.31

The terminal value is determined by summing the investment returns for each period [(10 × 1.14 × 1.08) + (100 × 1.08)]


This results in a value of IRR = 8.53 percent.

The time-weighted return of the fund is calculated as follows:


不是第一笔是addition的话， MWR 大于 TWR

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2 个答案

品职助教_七七 · 2024年11月08日

嗨，从没放弃的小努力你好：


这个结论里的那个小数字是第2年，得仔细看一下。不是第1年。

此外，这两个结论成立的前提是 此处设置了第2年收益率比第1年更高。如果第1年的收益率更高，则这两条都是不成立的。

这里的判断准则是首先看收益率哪年更高，如果addition是在收益率高的时候加进去的，则MWR就更高。反之如果是在收益率低的时候加进去的，则MWR更低。

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品职助教_七七 · 2024年10月18日

嗨，从没放弃的小努力你好：


不是第一笔是addition的话， MWR 大于 TWR------------------没有这个结论。

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