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沈点点 · 2025年02月11日

5%是针对什么而言

  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%).

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%

1.5%是针对每一次资金流入流出时候的fair value而言吗，还是针对初始值2000000？ 2.如果在某个月有两笔资金流入，一笔高于5%，那么需要先算一个subportfolio return，第二笔低于5%，那么再用modified dietz的方法算第二个subportfolio，然后再把两个sub portfolio结合起来算整个月的收益？能举例阐述下吗？

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伯恩_品职助教 · 2025年02月11日

嗨，努力学习的PZer你好：


1.5%是针对每一次资金流入流出时候的fair value而言吗，还是针对初始值2000000？ ——一般来说是初始值，不过这款教材没有说明，所以题目一般期初期末都是一样的。

2.如果在某个月有两笔资金流入，一笔高于5%，那么需要先算一个subportfolio return，第二笔低于5%，那么再用modified dietz的方法算第二个subportfolio，然后再把两个sub portfolio结合起来算整个月的收益？能举例阐述下吗？——一般来说这周周期比较短的，就都用TWR的方法了，除非周期拉得很长。而且通常如果不高于5%，题目始终出的都不高于5%

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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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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, anthe first quarter of 2019 using revaluing for large cash flows methology (assume “large” is finegreater th5%). 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%moetz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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