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dorami刀刀 · 2020年03月05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

老师，请问这道题用计算器来算，i怎么输入？怎么来判断呢？


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丹丹_品职答疑助手 · 2020年03月05日

同学你好，time-weighted return不受中间现金流的影响。所以只需要对各期间收益率取几何平均即可；对于money-weighted return则需要考虑现金流的影响。我们可以利用计算器的CF功能结合现金流量图来解决。对于期初投入10millom，第一年末（第二年初）投入100million的到了第二年末获得的总体收益是10*（1+14%）*（1+8%）+100*（1+8%）=120.3120

我们使用计算器，CF0=-10 C01=-100 F01=1，C02=120.3120  IRR  CPT 计算器界面显示结果。需要注意的是现金流的正负，要结合现金流量图。希望可以帮到你

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