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shijia75 · 2025年02月05日

下面这个公式什么意思呢？为什么不需要考虑加权天数，也就是cash inflow只在后面的13天存在

  1. CFA III
  2. GIPS

NO.PZ2022010501000004

问题如下：

Use the information in the following table to answer this question (amounts in €):


Calculate the rate of return for this portfolio for January, February, March, and the first quarter of 2019 using revaluing for large cash flows methodology (assume “large” is defined as greater than 5%).

选项：

解释：

January:

RJan= (208,000 − 200,000)/200,000 = 4.00%

February:

RFeb1- 15 = (217,000 − 208,000)/208,000 = 4.33%

RFeb16- 28= (263,000 − 257,000)/257,000 = 2.33%

RFeb1-28 = [(1 + 0.0433) × (1 + 0.0233)] − 1 = 6.76%

March:

RMar1- 21 == (270,000 − 263,000)/263,000 = 2.66%

RMar22- 31= (245,000 − 240,000)/240,000 = 2.08%

RMar1- 31= [(1 + 0.0266) × (1 + 0.0208)] − 1 = 4.80%

Quarter 1:

RQT1 = [(1 + 0.0400) × (1 + 0.0676) × (1 + 0.0480)] − 1 = 16.36%

RFeb1-28 = [(1 + 0.0433) × (1 + 0.0233)] − 1 = 6.76%


mod Dietz的公式也不太理解，为什么只坟分母考虑天数分子不考虑时间加权呢

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1 个答案

伯恩_品职助教 · 2025年02月06日

嗨，从没放弃的小努力你好：


下面这个公式什么意思呢？为什么不需要考虑加权天数，也就是cash inflow只在后面的13天存在——那个是Modified Dietz method，是用来不精确计算回报，这个是TWR的方法，精确计算return。


Modified Dietz method为什么分母考虑加权，因为分母只参与了后期的时间，前期没参与。分子不加权是因为，资金多少就是多少，总不能说我作为客户晚投资了半个月（100万），这个月计算收益的时候，我的本金100万要计算时间权重？因为只参与了后半个月，所以我的本金只算50万？对吧。所以本金是多少就是多少。分子表述的是本金。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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