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summer · 2023年09月06日

第二期的现金流除了-100以外为什么不加上基金第一年的收益（10*14%）呢？

  1. CFA I
  2. Portfolio

NO.PZ2017092702000030

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.

The money-weighted rate of return is found by setting the present value (PV) of investments into the fund equal to the PV of the fund’s terminal value. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. Set the PV of investments equal to the PV of the fund’s terminal value: 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}   Solving for r results in r = 8.53%. The time-weighted return of the fund is =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.96



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1 个答案

Kiko_品职助教 · 2023年09月06日

嗨，爱思考的PZer你好：


因为我们假设收益以相同利率进行再投资了。这笔利息并没有发生现金流的流出。所以t=2时刻只有现金流的流出是100

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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