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袁翀 · 2021年09月01日

题目中计算现金流的时候第一年末的收益为什么不计入现金流入呢？

  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%

第一年末收益率14%，按照题目会有1.4的投资收益，这一部分为什么不计入第一年末的现金流入呢？
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Kiko_品职助教 · 2021年09月01日

嗨，爱思考的PZer你好：


我们是假设这些收益以相同的return做再投资的。他并没有产生实际现金流的流入。所以不能加在现金流上。

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努力的时光都是限量版，加油！

庄园monar · 2022年03月24日

债券计算的时候产生的固定收益都假设再投资了吧？

Kiko_品职助教 · 2022年03月24日

嗨，努力学习的PZer你好：


对的~是这样~

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努力的时光都是限量版，加油！

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