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Faye · 2022年12月16日

为什么客户的收益是在最后一年的cashflow里，而不是在对应的cf1、cf2、cf3？

  1. CFA I
  2. Portfolio

NO.PZ2017092702000029

问题如下：

A fund receives investments at the beginning of each year and generates returns as shown in the table.

Which return measure over the three-year period is negative?

选项：

A.

Geometric mean return

B.

Time-weighted rate of return

C.

Money-weighted rate of return

解释：

C is correct.

The money-weighted rate of return considers both the timing and amounts of investments into the fund. The investment at the beginning of Year 1 will be worth $1,000(1.15)(1.14)(0.96) = $1,258.56 at the end of Year 3. The investment made at the beginning of Year 2 will be worth $4,377.60 = $4,000(1.14)(0.96) at the end of Year 3. The investment of $45,000 at the beginning of Year 3 decreases to a value of $45,000 (0.96) = $43,200 at the end of Year 3. Solving for r,

1,000+4,0001+r+45,000(1+r)2=1,258+4,337.60+43,200(1+r)31,000+\frac{4,000}{1+r}+\frac{45,000}{{(1+r)}^2}=\frac{1,258+4,337.60+43,200}{{(1+r)}^3}

results in r = –2.08%

Note that B is incorrect because the time-weighted rate of return (TWR) of the fund is the same as the geometric mean return of the fund and is thus positive: TWR = √ 3 (1.15) (1.14) (0.96) - 1 = 7.97%

为什么客户的收益是在最后一年的cashflow里，而不是在对应的cf1、cf2、cf3？

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1 个答案

pzqa27 · 2022年12月16日

嗨，爱思考的PZer你好：


因为这个题默认是每期的收益并不取出，而是放在账户里继续投资，因此每期实际的现金流是-1000，-1400，-45000以及（（1000*（1.15）+4000）*（1.14）+45000）*（1-0.04）=48836

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努力的时光都是限量版，加油！

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