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李梦璐 · 2022年02月01日

mwrr的理解

NO.PZ2015121801000038

问题如下:

Which of the following return calculating methods is best for evaluating the annualized returns of a buy-and-hold strategy of an investor who has made annual deposits to an account for each of the last five years?

选项:

A.

Geometric mean return.

B.

Arithmetic mean return.

C.

Money-weighted return.

解释:

A  is correct.

The geometric mean return compounds the returns instead of the amount invested.

老师,题中说每年都存,那不是每年都有现金流么?这种情况下用twrr衡量岂不是没有考虑现金流进入时点不同?

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已采纳答案

Kiko_品职助教 · 2022年02月04日

嗨,爱思考的PZer你好:


geometric mean return其实就是time weighted rate of return, 什么时候用TWRR呢?我们有个结论是:当基金经理没有办法控制投资资金的金额大小以及流入流出,用TWRR;当基金经理可以控制投资者投入资金和现金流,就可以用MWRR。

这道题目中,投资者每年往账户里储蓄一笔钱,所以基金经理是没有办法控制住账户资金大小和现金流的,所以用TWRR,选A。

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