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yukijiang · 2021年01月06日

问一道题：NO.PZ2015121801000136 [ 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. Computation of the money-weighted return, r, requires finding the discount rate that sums the present value of cash flows to zero. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. The cash flows are as follows:
CF0 = -10
CF1 = -100
CF2 = +120.31

The terminal value is determined by summing the investment returns for each period [(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53%

The time-weighted return of the fund is = [(1.14)(1.08)] ^2-1= 10.96%

可以不计算就能判断出吗？ 比如：后期的cf大，但是收益低，所以mwrr比twrr低？这个结论在任何时候都能成立吗
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1 个答案

丹丹_品职答疑助手 · 2021年01月07日

嗨，爱思考的PZer你好：


同学你好，可以这么理解，在cf大的那个周期收益低，所以mwrr小于twrr


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