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ruby5ltc · 2022年06月03日

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  1. CFA I
  2. Portfolio

NO.PZ2015121801000039

问题如下：

An investor evaluating the returns of three recently formed exchange-traded funds gathers the following information:

The ETF with the highest annualized rate of return is:

选项：

A.

ETF 1.

B.

ETF 2.

C.

ETF 3.

解释：

B is correct.

The annualized rate of return for ETF 2 is 12.05% = (1.0110 52/5 )-1, which is greater than the annualized rate of ETF 1, 11.93% = (1.0461365/146 365/ 146 )-1, and ETF 3, 11.32% = (1.143512/15 )-1. Despite having the lowest value for the periodic rate, ETF 2 has the highest annualized rate of return because of the reinvestment rate assumption and the compounding of the periodic rate.

1、考试时什么时候用单利？什么时候用复利？

2、为何不用EAR公式计算？

3、答案用的什么公式计算？没太看懂。

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3 个答案

Kiko_品职助教 · 2022年06月06日

嗨，爱思考的PZer你好：


return since inception就是自投资之日起得146天得收益率是4.61%，就是指期间收益，或者HPR 持有期的收益率。

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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！

Kiko_品职助教 · 2022年06月06日

嗨，努力学习的PZer你好：


EAR的公式是（1+r/m）^m=1+EAR没错。但其中：

r/m指的是期间利率。这道题里，表格中给的直接就已经是期间利率了（例如4.61%），不用再除以N了。


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努力的时光都是限量版，加油！

ruby5ltc · 2022年06月06日

如何判断给出的是期间收益率呢？

Kiko_品职助教 · 2022年06月04日

嗨，努力学习的PZer你好：


1.我们求年化收益率都是用复利计算的，不能用单利。其实CFA考试中用单利的情况很少，LIBOR计算的时候特殊用单例，大部分情况没有特别说明一般用的都是复利的。

2.EAR不就是effective annual return得意思吗，有效年化利率，这道题求得就是EAR。以ETF1为例，公式就是1+EAR=（1+4.61%）^(365/146)

3.答案是把三个不同时期得HPR都做了年化处理，这样子才有可比性。

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加油吧，让我们一起遇见更好的自己！

ruby5ltc · 2022年06月05日

EAR=(1+r/m)的m次方-1，m=365/146，我的理解错在哪里？答案没有考虑分母

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