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Luckyman · 2022年07月19日

老师好 请问这道题的5%是怎样用？cf到什么程度才会代入计算？

  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%

老师好 请问这道题的5%是怎样用？cf到什么程度才会代入计算？

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2 个答案

伯恩_品职助教 · 2022年07月20日

嗨，努力学习的PZer你好：


cf到什么程度才会代入计算？——CF都会带入计算的啊，无论TWR还是Modified Dietz method，只不过这里计算TWR的时候，用的期末的余值已经包括了CF了，比如257000已经把作为CF的40000加进去了

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伯恩_品职助教 · 2022年07月20日

嗨，努力学习的PZer你好：


5%是比如这个40000相对217000占比是18.4%＞5%，所以这里要用twrr，不能用Modified Dietz method，


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加油吧，让我们一起遇见更好的自己！

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