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Bossib · 2018年06月04日

问一道题:NO.PZ2017092702000030 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


我想问每一期的现金流怎么算?

我看过其他人的提问答案是CF0=-10,CF1=-100,CF2=10*1.14*1.08+100*1.08. 我想问CF1不是应该还有个14%的收益么?CF2的话不应该是纯计算收益吗?为什么要乘1.08而不是0.08?


2 个答案

源_品职助教 · 2018年11月14日

题目计算收益率,那就必须假设在第二年年末投资结束,本金和利息都返还给投资者。要不然投资者只有现金流流出,收益率便无从谈起。

源_品职助教 · 2018年06月04日

因为在T=1时刻,投资者只付出了-100的现金流。14%的收益没有从投资者手里拿走,直接计入下一期投资,所以不算从投资者那里发生的现金流。

但是在T=2时刻,咱们投资者实际获取了到了所有的收益和本金,这是实际发生的现金流。所以投资者1.08中的1代表的就是获得的本金部分。

计算IRR时候,只需要考虑实际发生的现金流即可。

酣然大笑 · 2018年11月14日

按这个解释的话,第二年也没告诉我们收没收到现金流吧?

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NO.PZ2017092702000030问题如下the beginning of Ye1, a funh$10 million unr management; it earns a return of 14% for the year. The funattracts another $100 million the start of Ye2 anearns a return of 8% for thyear. The money-weighterate of return is most likely:A.less ththe time-weighterate of return. B.the same the time-weighterate of return. C.greater ththe time-weighterate of return.A is correct. The money-weighterate of return is founsetting the present value (PV) of investments into the funequto the PV of the funs terminvalue. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. Set the PV of investments equto the PV of the funs terminvalue: 10+1001+r=10×1.14×1.08+100×1.08(1+r)210+\frac{100}{1+r}=\frac{10\times1.14\times1.08+100\times1.08}{{(1+r)}^2}10+1+r100​=(1+r)210×1.14×1.08+100×1.08​ Solving for r results in r = 8.53%. The time-weightereturn of the funis =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.962(1.14)(1.08)​−1=10.96CF0 -10CF1 1.4-100CF2 100*0.08+10*0.08

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