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宇宙球求 · 2024年11月04日

现金的时间价值

  1. CFA III
  2. GIPS

NO.PZ2022010601000003

问题如下：

Use the information in the table below to answer this question (amounts are in Euros):


Use revaluing for large cash flows methodology (assuming “large” is defined as greater than 5%) to calculate the return on the portfolio in April, May, June, and the second quarter of 2021.

选项：

解释：

April:

RApr= (105,000 − 100,000)/100,000 = 5.00%

May:

RMay1- 17 = (112,000 − 105,000)/105,000 = 6.66%

RMay18- 31= (142,000 − 132,000)/132,000 = 7.58%

RMay1-31 = [(1 + 0.0666) × (1 + 0.0758)] − 1 = 14.74%

June:

RJune1- 20 == (150,000 − 142,000)/142,000 = 5.63%

RJune21- 30= (140,000 − 135,000)/135,000 = 3.7%

RJune1- 30= [(1 + 0.0563) × (1 + 0.0370)] − 1 = 9.54%

Quarter 2:

RQT2 = [(1 + 0.0500) × (1 + 0.1474) × (1 + 0.0954)] − 1 = 31.97%

RJune1- 20 == (150,000 − 142,000)/142,000 = 5.63%

RJune21- 30= (140,000 − 135,000)/135,000 = 3.7%


这里的思路是不是TWR？要不要考虑每一期现金流发生的时间占比？

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已采纳答案

伯恩_品职助教 · 2024年11月06日

嗨，从没放弃的小努力你好：


是TWR，不用考虑，因为TWR是把现金流发生的时段当作单独一期来计算

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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