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CFApipa · 2022年09月18日

请教老师，遇到像这样算MWRR的题目是不是都不考虑收益算进cf？那么分红要算吗？如果要算，分红是正的cf？

  1. CFA I
  2. Portfolio

NO.PZ2015121801000136

问题如下：

At the beginning of Year 1, a fund has $10 million under management; it earns a return of 14% for the year. The fund attracts another $100 million at the start of Year 2 and earns a return of 8% for that year. The money-weighted rate of return is most likely:

选项：

A.

less than the time-weighted rate of return.

B.

the same as the time-weighted rate of return.

C.

greater than the time-weighted rate of return.

解释：

A is correct. Computation of the money-weighted return, r, requires finding the discount rate that sums the present value of cash flows to zero. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. The cash flows are as follows:
CF0 = -10
CF1 = -100
CF2 = +120.31

The terminal value is determined by summing the investment returns for each period [(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53%

The time-weighted return of the fund is = [(1.14)(1.08)] ^0.5-1= 10.96%

请教老师，遇到像这样算MWRR的题目是不是都不考虑收益算进cf？那么分红要算吗？如果要算，分红是正的cf？

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1 个答案

Kiko_品职助教 · 2022年09月19日

嗨，从没放弃的小努力你好：


请教老师，遇到像这样算MWRR的题目是不是都不考虑收益算进cf？

--是的。因为我们假设收益是以相同利率做再投资了，并不发生实际的现金流，所以它并不能算在现金流里。


分红是要算的，分红算正的cf。因为这相当于我的收益。



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