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玛卡巴卡 · 2022年02月12日

GIPS

  1. CFA III
  2. GIPS

NO.PZ2022010501000004

问题如下：

Use the information in the following table to answer this question (amounts in €):


Calculate the rate of return for this portfolio for January, February, March, and the first quarter of 2019 using revaluing for large cash flows methodology (assume “large” is defined as greater than 5%).

解释：

January:

RJan= (208,000 − 200,000)/200,000 = 4.00%

February:

RFeb1- 15 = (217,000 − 208,000)/208,000 = 4.33%

RFeb16- 28= (263,000 − 257,000)/257,000 = 2.33%

RFeb1-28 = [(1 + 0.0433) × (1 + 0.0233)] − 1 = 6.76%

March:

RMar1- 21 == (270,000 − 263,000)/263,000 = 2.66%

RMar22- 31= (245,000 − 240,000)/240,000 = 2.08%

RMar1- 31= [(1 + 0.0266) × (1 + 0.0208)] − 1 = 4.80%

Quarter 1:

RQT1 = [(1 + 0.0400) × (1 + 0.0676) × (1 + 0.0480)] − 1 = 16.36%

这道题的计算和large有关系吗？这个计算方法是IRR吗？

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2 个答案

伯恩_品职助教 · 2022年02月16日

嗨，努力学习的PZer你好：


所以这种题目需要先判断下现金流是否有超过5%，如果没有，就不考虑了？——是的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

伯恩_品职助教 · 2022年02月14日

嗨，努力学习的PZer你好：


这道题的计算和large有关系吗？——有的啊，40,000÷217,00=0.184＞5%，所以是large，所以这里需要对现金流进行处理。

这个计算方法是IRR吗？——这里用的TWR的方法

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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！

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