开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

yukijiang · 2021年01月06日

问一道题：NO.PZ2015121801000136 [ CFA I ]

  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%

可以不计算就能判断出吗？ 比如：后期的cf大，但是收益低，所以mwrr比twrr低？这个结论在任何时候都能成立吗
添加评论
1 个答案

丹丹_品职答疑助手 · 2021年01月07日

嗨，爱思考的PZer你好：


同学你好，可以这么理解，在cf大的那个周期收益低，所以mwrr小于twrr


-------------------------------
加油吧，让我们一起遇见更好的自己！


  • 1

    回答

  • 1

    关注

  • 737

    浏览
相关问题

NO.PZ2015121801000136 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. Computation of the money-weightereturn, r, requires finng the scount rate thsums the present value of cash flows to zero. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. The cash flows are follows:CF0 = -10CF1 = -100CF2 = +120.31The terminvalue is terminesumming the investment returns for eaperio[(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53% The time-weightereturn of the funis = [(1.14)(1.08)] ^0.5-1= 10.96% 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:

2024-05-22 13:49 1 · 回答

NO.PZ2015121801000136 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. Computation of the money-weightereturn, r, requires finng the scount rate thsums the present value of cash flows to zero. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. The cash flows are follows:CF0 = -10CF1 = -100CF2 = +120.31The terminvalue is terminesumming the investment returns for eaperio[(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53% The time-weightereturn of the funis = [(1.14)(1.08)] ^0.5-1= 10.96% 老师，题中的time-weightereturn怎么算出来的？用什么公式？

2024-03-07 07:17 1 · 回答

NO.PZ2015121801000136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. Computation of the money-weightereturn, r, requires finng the scount rate thsums the present value of cash flows to zero. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. The cash flows are follows:CF0 = -10CF1 = -100CF2 = +120.31The terminvalue is terminesumming the investment returns for eaperio[(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53% The time-weightereturn of the funis = [(1.14)(1.08)] ^0.5-1= 10.96% 。。。。。。。。。。。

2024-02-26 11:24 2 · 回答

NO.PZ2015121801000136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. Computation of the money-weightereturn, r, requires finng the scount rate thsums the present value of cash flows to zero. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. The cash flows are follows:CF0 = -10CF1 = -100CF2 = +120.31The terminvalue is terminesumming the investment returns for eaperio[(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53% The time-weightereturn of the funis = [(1.14)(1.08)] ^0.5-1= 10.96% CF1为什么不用加上第一年10mn的投资回报，CF2却加上了往期的投资回报？

2023-08-30 11:26 1 · 回答

NO.PZ2015121801000136 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. Computation of the money-weightereturn, r, requires finng the scount rate thsums the present value of cash flows to zero. Because most of the investment came ring Ye2, the measure will biasetowarthe performanof Ye2. The cash flows are follows:CF0 = -10CF1 = -100CF2 = +120.31The terminvalue is terminesumming the investment returns for eaperio[(10 × 1.14 × 1.08) + (100 × 1.08)] ， results in a value of r = 8.53% The time-weightereturn of the funis = [(1.14)(1.08)] ^0.5-1= 10.96% rt，如果可以用定性的结论，麻烦详细推演下，谢谢！

2023-01-07 18:33 1 · 回答