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mino酱是个小破货 · 2025年03月26日

烦请老师帮忙看下是否可以这么回答，谢谢老师

  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%

the rate of return for this portfolio for January=(208000-200000)/200000=4%

the rate of return for this portfolio for February

(217000-208000)/208000=4.33%

(263000-257000)/257000=2.33%

(1+4.33%)(1+2.33%)-1=6.76%

the rate of return for this portfolio for March

(270000-263000)/263000=2.66%

(245000-240000)/240000=2.08%

(1+2.66%)(1+2.08%)-1=4.80%

the first quarter of 2019

(1+4%) * (1+6.76%) *(1+4.8%)=16.36%

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1 个答案

伯恩_品职助教 · 2025年03月27日

嗨，努力学习的PZer你好：


计算题可以直接写结果，过程不重要，只要结果正确即可。

----------------------------------------------
努力的时光都是限量版，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% 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mofieetz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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