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tzdsgn · 2018年12月25日

问一道题:NO.PZ2017092702000030 [ CFA I ]

麻烦帮看下为什么我如下的关于MWR计算是错的

CF0=-10

CF1=-100+10*14%

CF2=10*114%*8%+100*8%+100+10

疑问一,为什么第一年的利息不计入年末现金流 (10*14%)

疑问二,为什么第二年其实并没有卖掉(讲课时的例题是最后出售的),但要把本金100和10算在CF2中

谢谢🙏

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

菲菲_品职助教 · 2018年12月26日

同学你好,

第一个问题:因为在T=1时刻,投资者只付出了-100的现金流。14%的收益没有从投资者手里拿走,直接计入下一期投资,所以不算从投资者那里发生的现金流。

第二个问题:题目计算收益率,那就必须假设在第二年年末投资结束,本金和利息都返还给投资者。要不然投资者只有现金流流出,我们也没有办法计算收益率啦。

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NO.PZ2017092702000030问题如下the beginning of Ye1, a funh$10 million unr management; it earns a return of 14% for the year. The funattracts another $100 million the start of Ye2 anearns a return of 8% for thyear. The money-weighterate of return is most likely:A.less ththe time-weighterate of return. B.the same the time-weighterate of return. C.greater ththe time-weighterate of return.A is correct. The money-weighterate of return is founsetting the present value (PV) of investments into the funequto the PV of the funs terminvalue. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. Set the PV of investments equto the PV of the funs terminvalue: 10+1001+r=10×1.14×1.08+100×1.08(1+r)210+\frac{100}{1+r}=\frac{10\times1.14\times1.08+100\times1.08}{{(1+r)}^2}10+1+r100​=(1+r)210×1.14×1.08+100×1.08​ Solving for r results in r = 8.53%. The time-weightereturn of the funis =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.962(1.14)(1.08)​−1=10.96CF0 -10CF1 1.4-100CF2 100*0.08+10*0.08

2023-11-11 19:27 2 · 回答

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2023-09-06 00:23 1 · 回答

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2023-02-27 15:49 3 · 回答

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2022-11-20 20:37 1 · 回答

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2022-10-29 22:19 1 · 回答