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苏·Xu · 2023年05月02日

问

  1. CFA I
  2. Portfolio

NO.PZ2018101901000065

问题如下：

At the beginning of Year 1, a fund has $1 million under management; it earns a return of 8% for the year. The fund attracts another $10 million at the start of Year 2 and earns a return of 15% 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：

解析：这道题考察的是MWRR的结果贴近于权重大的那一期的回报率。而TWRR是近似于中间值的。用这种方法就可以进行快速比较。

如果通过计算呢？可否写一下计算的过程？谢谢。

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1 个答案

Kiko_品职助教 · 2023年05月04日

嗨，努力学习的PZer你好：


这个定量计算的话，按照TWRR和IRR的定义算就行了

先算TWRR：(1+r)^2=(1+8%)(1+15%)=11.4451%

再算IRR，这个用计算器依次输入CF -1，-10，1*1.08*1.15+（10*1.15）

然后可以得到IRR=14.345%左右

对比下结果，选C

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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