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cika · 2024年07月12日

5%

  1. CFA III
  2. GIPS

NO.PZ2022010501000004

问题如下：

Use the information in the following table to answer this question (amounts in €):


Calculate the rate of return for this portfolio for January, February, March, and the first quarter of 2019 using revaluing for large cash flows methodology (assume “large” is defined as greater than 5%).

选项：

解释：

January:

RJan= (208,000 − 200,000)/200,000 = 4.00%

February:

RFeb1- 15 = (217,000 − 208,000)/208,000 = 4.33%

RFeb16- 28= (263,000 − 257,000)/257,000 = 2.33%

RFeb1-28 = [(1 + 0.0433) × (1 + 0.0233)] − 1 = 6.76%

March:

RMar1- 21 == (270,000 − 263,000)/263,000 = 2.66%

RMar22- 31= (245,000 − 240,000)/240,000 = 2.08%

RMar1- 31= [(1 + 0.0266) × (1 + 0.0208)] − 1 = 4.80%

Quarter 1:

RQT1 = [(1 + 0.0400) × (1 + 0.0676) × (1 + 0.0480)] − 1 = 16.36%

老师，如果2月16日的现金流入从40000变为4000（即小于5%），进而使得2月16日的fair value post cash flow变为221000，其余条件都不变。请问二月份的收益率如何计算，谢谢老师

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伯恩_品职助教 · 2024年07月12日

嗨，爱思考的PZer你好：


这个计算方法不变是不是large只影响能否使用Modified dietz

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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