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Weiwei🍀💋🐶 · 2020年02月25日

问一道题：NO.PZ2015121801000136

  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. Computation of the money-weighted return, r, requires finding the discount rate that sums the present value of cash flows to zero. Because most of the investment came during Year 2, the measure will be biased toward the performance of Year 2. The cash flows are as follows:
CF0 = -10
CF1 = -100
CF2 = +120.31

The terminal value is determined by summing the investment returns for each period [(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53%

The time-weighted return of the fund is = [(1.14)(1.08)] ^2-1= 10.96%

请问如何对比mwrr twrr


addition

withdraw两种情况

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1 个答案

丹丹_品职答疑助手 · 2020年02月25日

同学你好，对于time-weighted return，我们只关心每个时期的利率状况，现金的addition 和withdrawal不影响time-weighted return的值。而money-weighted return要受到各期现金流进出的影响，本质上是IRR，可以利用计算器结合现金流量图计算IRR。针对本题，可以利用金融计算器求解，对于time-weighted return 直接用开方进行计算，对于money-weighted return 利用计算器里的cf 功能结合画图进行计算

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