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尼克内姆 · 2020年05月24日

问一道题：NO.PZ2017092702000030 [ CFA I ]

  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

cf1为什么不加10million*14%？？？

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1 个答案

丹丹_品职答疑助手 · 2020年05月25日

嗨，从没放弃的小努力你好：


同学你好，咱们可以画现金流量图，在0时刻投入10million 1时刻投入100million, 2时刻总共收到【10*1.14+100】*1.08.


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


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