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摩羯大小姐 · 2021年10月23日

120.31是怎么算出来的

  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%

120.31的计算过程是什么呀
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Kiko_品职助教 · 2021年10月24日

嗨，从没放弃的小努力你好：


这道题第一期投入了10，第二期投入了100，第三期相当于将账户里所有的钱都提出，而这个时候第一期的10经过两年后已经变成了 10*1.14*1.08，第二期的100一年后变成了100*1.08，两个相加就是+120.31，加油~

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努力的时光都是限量版，加油！

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