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yxy辛夷 · 2017年08月24日

NO.PZ2015120604000033，算twrr的时候，第二年的value

  1. CFA I
  2. Quantitative

请问第二年的value为什么不是65*2+2=132？不是买了两只股票吗。然后后面求HPR2的时候为什么又是144/130-1. 为什么是130？而不是132或者67？

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源_品职助教 · 2017年08月24日

在第二年年初时刻，也就是第一年年末时刻我们只需要考虑第一只股票的持有期收益收益，因为此时第二只股票是刚买进的，这只股票价格没有任何变化，收益是0。只有第一只股票从50涨到65，并且获得2元的分红。

计算第二年持有期收益率时，期初时刻投资者的资产总和为65*2=130，那2元的分红收益是算作第一年的收益率，已经计算过了。第二年年初的资产初始规模就不应该考虑那2元的收益。

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