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FrankSun · 2019年12月21日

问一道题：NO.PZ2017092702000030

  1. CFA I
  2. Portfolio

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

好奇怪，cash flow增加，不是irr会增加吗

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星星_品职助教 · 2019年12月22日

同学你好，
这道题的考察点在于老师上课讲到的一个结论，MWRR类似一个加权平均的形式，权重是现金流。所以这道题第二期也就是收益率8%时的权重大，最后平均收益偏向于更低的8%。而TWRR的结果则跟14%与8%的中间值很临近。所以一定是TWRR大。这种类型的题目考察的是以上的定性判断，不用计算。但可以参考答案解析中的计算结果做个交叉验证，加油。

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NO.PZ2017092702000030问题如下the beginning of Ye1, a funh$10 million unr management; it earns a return of 14% for the year. The funattracts another $100 million the start of Ye2 anearns a return of 8% for thyear. The money-weighterate of return is most likely:A.less ththe time-weighterate of return. B.the same the time-weighterate of return. C.greater ththe time-weighterate of return.A is correct. The money-weighterate of return is founsetting the present value (PV) of investments into the funequto the PV of the funs terminvalue. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. Set the PV of investments equto the PV of the funs terminvalue: 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}10+1+r100​=(1+r)210×1.14×1.08+100×1.08​ Solving for r results in r = 8.53%. The time-weightereturn of the funis =(1.14)(1.08)2−1=10.96\sqrt[2]{{(1.14)}{(1.08)}}-1=10.962(1.14)(1.08)​−1=10.96CF0 -10CF1 1.4-100CF2 100*0.08+10*0.08

2023-11-11 19:27 2 · 回答

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2023-09-06 00:23 1 · 回答

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