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空间笑 · 2018年08月22日

问一道题:NO.PZ2015121801000038 [ CFA I ]

为啥不选B?算术平均可以忽略掉资金权重影响,对于定投该有指导意义哈。

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月22日

这道题是数量和组合管理相结合的,算是比较难的题目。算数平均多用于预测未来一期的收益率,这与题目要求的衡量过去5年收益率不符。

其实这道题考点在于TWRR(也就是geometric return)和MWRR的区别,在数量中学到,这主要看基金经理是否有权决定资金进出时间以及进出的金额。题干说这个投资者每年存钱,但是存钱的具体时间以及金额大小都不知道。所以TWRR更合适。

 

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