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tongmopwt · 2019年12月31日

问一道题：NO.PZ2017092702000030

  1. CFA I
  2. Portfolio

问题如下：

At the beginning of Year 1, a fund has $10 million under management; it earns a return of 14% for the year. The fund attracts another $100 million at the start of Year 2 and earns a return of 8% for that year. The money-weighted rate of return is most likely:

选项：

A.

less than the time-weighted rate of return.

B.

the same as the time-weighted rate of return.

C.

greater than the time-weighted rate of return.

解释：

A is correct.

The money-weighted rate of return is found by setting the present value (PV) of investments into the fund equal to the PV of the fund’s terminal value. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. Set the PV of investments equal to the PV of the fund’s terminal value: 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}   Solving for r results in r = 8.53%. The time-weighted return of the fund is =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.96

请问这道题如果用计算器的CF功能能算吗？谢谢

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2 个答案

星星_品职助教 · 2020年07月03日

@Cmcm

同学你好，MWRR考虑的是现金的流入和流出，只有在最后一期（所有现金都流出）的时候才要考虑回报率的问题。

但这道题就不要往计算方面去想了，考察的就是MWRR的结果贴近于权重大的那一期的回报率。而TWRR是近似于中间值的。用这种方法就可以进行快速比较。并不是说考察计算的

星星_品职助教 · 2019年12月31日

同学你好，

这道题其实不是考察计算的。回忆一下这部分上课内容，MWRR可以近似的理解为以现金流做权重的一个加权平均。

在本题里，MWRR的现金流第一期为10（对应回报率14%），第二期为100（对应回报率8%），由于第二期的现金流远大于第一期，所以MWRR的最终回报率会贴近于第二期的8%。

因为TWRR是几何平均算出来的，所以结果更接近14%和8%的中间值11%。所以可以直接得出结论一定是TWRR更大

所以这种MWRR和TWRR的比较的题型，要看MWRR的现金流权重偏向哪一期，最终MWRR的结果一定是贴近于权重大的那一期的回报率的。而TWRR一定是近似于中间值的，就可以进行快速比较。


当然也可以用计算器算出MWRR对以上的判断做一个验证：

CF0=-10; CF1=-100; CF2=10*1.14*1.08+100*1.08=120.312，CPT IRR=8.53%.

加油，元旦快乐

Cmcm · 2020年07月03日

请问为什么CF1不算上$10 million 的14% return? CF1=-100+10*0.14

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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

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=10.96

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