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苏·Xu · 2022年10月30日

问

  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.

用EAR公式的角度理解，m 为什么等于 365/146...(以下类似）？

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1 个答案

pzqa27 · 2022年11月01日

嗨，爱思考的PZer你好：


假设EAR=x

(1+x)^(146/365)=(1+0.0461).

这里年回报率是X，其中投资期是146天，所以相当于是按X投资了146/365这么久


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