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如此_AnnieCcc · 2021年02月08日

CF2 = +120.31

  1. CFA I
  2. Portfolio

NO.PZ2015121801000136

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%

为什么？这道题详细说说我知道选A～我是看14变到8估计出来的～因为mvrr只有利率越变越大才会比twrr大

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丹丹_品职答疑助手 · 2021年02月08日

嗨，爱思考的PZer你好：


同学你好，收益当我们去比价mwrr和twrr的时候，注意，mwrr考查的是管理人对于期间现金流的影响，譬如管理人预期明年市场收益要走高所以开放申购，吸引资金进入，从而获得了更高的收益，那么mwrr就大于twrr。或者管理人预期市场收益要走低，所以鼓励投资者赎回那么mwrr依然大于twrr。

按照这个思路我们仔细分析下题干：The fund attracts another $100 million at the start of Year 2 and earns a return of 8% for that year，这里面8%<14% 所以mwrr小。

希望可以帮到你


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