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欢欢 · 2021年12月11日

这道题可以不用计算直接定性判断吗

  1. CFA I
  2. Portfolio

NO.PZ2017092702000030

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

上课老师有说过，如果第二年的CF即return比第一年大的话，MWRR就大于TWRR，因为MWRR是按CF加权的，而TWRR是按时间平均加权的。这道题也适用此方法吗？

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Kiko_品职助教 · 2021年12月12日

嗨，从没放弃的小努力你好：


可以的~

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努力的时光都是限量版，加油！

Kiko_品职助教 · 2022年04月29日

嗨，爱思考的PZer你好：


应该选C，这道题MWRR的话相当于给lower return（8%）一个更高得权重（CF=100m）。所以结果一定是比TWRR小得。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

王秋宇 · 2022年04月29日

适用还选A吗？适应的话应该直接选C啊

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NO.PZ2017092702000030问题如下the beginning of Ye1, a funh$10 million unr management; it earns a return of 14% for the year. The funattracts another $100 million the start of Ye2 anearns a return of 8% for thyear. The money-weighterate of return is most likely:A.less ththe time-weighterate of return. B.the same the time-weighterate of return. C.greater ththe time-weighterate of return.A is correct. The money-weighterate of return is founsetting the present value (PV) of investments into the funequto the PV of the funs terminvalue. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. Set the PV of investments equto the PV of the funs terminvalue: 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}10+1+r100​=(1+r)210×1.14×1.08+100×1.08​ Solving for r results in r = 8.53%. The time-weightereturn of the funis =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.962(1.14)(1.08)​−1=10.96CF0 -10CF1 1.4-100CF2 100*0.08+10*0.08

2023-11-11 19:27 2 · 回答

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2023-09-06 00:23 1 · 回答

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2023-02-27 15:49 3 · 回答

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2022-11-20 20:37 1 · 回答

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