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fushiastella💫 · 2020年05月21日

问一道题:NO.PZ2017092702000030

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)21=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.96

老师你好,

看了你给其他同学的回答,有一个疑问,


“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%.”

为什么产生的return是CF2,而不是在每一期去计算,比如CF0=-10+10*1.14 CF1=-100+(100+10*1.14)*1.08,请问我这样理解是对的吗?

2 个答案
已采纳答案

丹丹_品职答疑助手 · 2020年05月24日

同学你好,题干比较简单,CF0,指的是0时刻的投资所以是-10million  1时(2时刻初)的投资是100所以cf1=-100million

CF2=【10*1.14(0到1时刻收益)*+100】*(1.08)(1到2时刻收益)

看这样是否能理解呢,这种问题最好是画现金流量图比较清晰

丹丹_品职答疑助手 · 2020年05月21日

嗨,从没放弃的小努力你好:


同学你好,CF0指的是0时刻的现金流 CF1指的是第一期的现金流。。。以此类推,就算是第三期现金流为0,cf3也得选0.请知悉


-------------------------------
努力的时光都是限量版,加油!


fushiastella💫 · 2020年05月22日

谢谢老师,那10million和100million产生的return应该是第几期发生的现金流呢?因为我没有太理解之前解答中,两期的return为什么是CF2

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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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