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ruby5ltc · 2022年06月03日

请问

  1. CFA I
  2. Portfolio

NO.PZ2015120604000033

问题如下：

Tom buys one share of stock at $30 now, and one more shares at $35 after one year. At the end of year 1, the stock paid $5 dividend per share. At the end of t2, Tom sold 2 shares for $40 each. Calculate the time-weighted rate of return on this investment.

选项：

A.

9.88%.

B.

15.00%.

C.

23.13%.

解释：

C is correct.

During the year1, the hoding return is (35 + 5) / 30 - 1= 33.33%,

During the year2, the hoding return is 80 / 70 - 1 = 14.29%

Time-weighted return = [(1.33)(1.14)]0.5 - 1 = 23.13%


在第一期算收益时，股票价格已经涨到了35，虽然没有抛售，但表示我能够以35的价格卖出股票，获得收益，所以是正号，表示现金流流入。

为什么呢？现金流应该是纯投入或者提取呀，为什么股票的涨跌也算呢？我理解的是如果股票抛售赚了钱才算，为什么没抛售也算呢？


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2 个答案

Kiko_品职助教 · 2022年06月06日

嗨，从没放弃的小努力你好：


收益率是用收益比上成本算出来的，比如你在银行存了100块，期末收到120块，算收益率就要用120/100-1，这道题也一样，2时点的时候卖掉股票收到了80，这80块的收入是基于70这个成本算的，2时点的时候之所以能收到80，是因为1时点的时候手里有两只成本为35的股票，1时点手里的两只股票价值等于70，到2时点涨到了80，所以收益率是80/70-1。

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努力的时光都是限量版，加油！

Kiko_品职助教 · 2022年06月04日

嗨，爱思考的PZer你好：


这个题求的是time-weighted rate of return，不需要考虑现金流流入还是流出，只看期间收益就可以。

可以这样理解，t=1时刻， hoding return应该是总价值收益/原始投资-1，总价值是35（已经涨到了这个价格）加上5得dividend，除以原始投资30，-1就得到HPR了。

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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！

ruby5ltc · 2022年06月05日

第二年原始投资为什么是70？我理解的是30+35，请问错在哪里？

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