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xiao15 · 2021年07月22日

老师你好 我看别的同学的答案解析 CF1=-100 但为什么CF1不是等于100-10*14%呢？ 不是第一年的投资也产生了现金流吗

  1. CFA I
  2. Portfolio

NO.PZ2017092702000030

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

老师你好 我看别的同学的答案解析 CF1=-100 但为什么CF1不是等于100-（10*14%）呢？ 不是第一年的投资也产生了现金流吗

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Kiko_品职助教 · 2021年07月26日

嗨，努力学习的PZer你好：


我画了一个你可以看看哈。（注意这里第二年题目没有说再投资，我们假设它全部取出）

另外这道题可以不用计算这么麻烦。TWRR是相当于给每年的投资一个相同的权重，而这里的MWRR给第二年的8%更多的权重，所以算出来的值一定比TWRR来的小。

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18816562889 · 2022年08月12日

第二年的权重高是因为投入的资金量高吗？投入的资金量高不是权重更高吗怎么还小了呢

Kiko_品职助教 · 2022年08月12日

嗨，爱思考的PZer你好：


----------第二年的权重高是因为投入的资金量高吗？投入的资金量高不是权重更高吗怎么还小了呢

----------是的，因为投入了更多的资金。但是给了收益更少的部分更高的权重，自然算出来是小的。

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加油吧，让我们一起遇见更好的自己！

Kiko_品职助教 · 2021年07月23日

嗨，努力学习的PZer你好：


同学你好，关于return部分我们都是假设以相同利率做再投资的，所以它不能算现金流，除非题目里说第一年返还多少cash，这样我们可以用-100+cash。

另外你的计算100-（10*14%）抛开把return加进去算这样不对，符号也是不对的哈，100是投入资金，属于现金流流出，前面应该加负号。

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加油吧，让我们一起遇见更好的自己！

xiao15 · 2021年07月25日

老师这个题的 Money-weighted rate of return 能不能画一个cash flow的图 我没太理解他是怎么算出来的irr 和每笔现金流

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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

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=10.96

2023-09-06 00:23 1 · 回答

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2023-02-27 15:49 3 · 回答

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2022-11-20 20:37 1 · 回答

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