问题如下:
A fund receives investments at the beginning of each year and generates returns as shown in the table.
Which return measure over the three-year period is negative?
选项:
A.Geometric mean return
B.Time-weighted rate of return
C.Money-weighted rate of return
解释:
C is correct.
The money-weighted rate of return considers both the timing and amounts of investments into the fund. The investment at the beginning of Year 1 will be worth $1,000(1.15)(1.14)(0.96) = $1,258.56 at the end of Year 3. The investment made at the beginning of Year 2 will be worth $4,377.60 = $4,000(1.14)(0.96) at the end of Year 3. The investment of $45,000 at the beginning of Year 3 decreases to a value of $45,000 (0.96) = $43,200 at the end of Year 3. Solving for r,
results in r = –2.08%
Note that B is incorrect because the time-weighted rate of return (TWR) of the fund is the same as the geometric mean return of the fund and is thus positive: TWR = √ 3 (1.15) (1.14) (0.96) - 1 = 7.97%
老师,这一题中每年的收益为什么不需要计入当年的现金流中计算净现金流入值呢?为什么都是在最后一年计算呢?