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扑扑扑 · 2020年09月22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

请问计算IRR的时候，t=1时刻的现金流是多少呀？是（+140W-10000W）还是？

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3 个答案

星星_品职助教 · 2020年12月29日

@Steven

CF2里面并不是只算了第一年的14%收益率，而是两年后第一笔投入的10m一共会变成多少钱。

由于这道题是用IRR的方法计算的，所以看得是现金流的流入流出，在第一年末，流出的现金流就只有那个额外投入的100。只有在第二年末，才相当于第一年投入的那10m连本带利的流入回来了，所以才需要考虑。

星星_品职助教 · 2020年09月23日

@ 扑扑扑

复习一下R52 “Framework of Portfolio Risk and Return: Part I(1)”这一节课的相关内容。

由于低利率8%对应的现金流权重大，所以MWRR一定低于TWRR，不用去计算。

星星_品职助教 · 2020年09月23日

同学你好，

这道题并不需要计算，直接按照老师上课讲的权重判断方式就可以知道一定是TWRR大。直接选择A即可。

--------------

计算IRR方法：

CF0=-10，

CF1=-100，

CF2=10*1.14*1.08+100*1.08

负号代表现金流流出，正号代表现金流流入。依次录入这些数据，之后点击CPT IRR即可

_ Steven _ · 2020年12月28日

老师您好， 为什么10million所产生的14%的收益要放在CF2现金流中计算而不是放在CF1的当期现金流中计算

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2023-11-11 19:27 2 · 回答

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