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x1x1 · 2023年08月30日

现金流

  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%

CF1为什么不用加上第一年10mn的投资回报，CF2却加上了往期的投资回报？

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1 个答案

星星_品职助教 · 2023年08月30日

同学你好，

计算MWRR只看现金流的流入流出。第一期末只有100的新现金流流入。投资回报并非新的流入的现金流，所以不需要考虑。

第二期结束的时候，相当于把所有的投资连本带利一次性收回。故此时投资回报作为收回的流入的现金流的一部分，需要考虑进去。

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