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摩羯大小姐 · 2021年09月25日

计算期间收益时分子分母的认定

  1. CFA I
  2. Portfolio

NO.PZ2015120604000033

问题如下：

Tom buys one share of stock at $30 now, and one more shares at $35 after one year. At the end of year 1, the stock paid $5 dividend per share. At the end of t2, Tom sold 2 shares for $40 each. Calculate the time-weighted rate of return on this investment.

选项：

A.

9.88%.

B.

15.00%.

C.

23.13%.

解释：

C  is correct.

During the year1, the hoding return is (35 + 5) / 30 - 1= 33.33%,

During the year2, the hoding return is 80 / 70 - 1 = 14.29%

Time-weighted return = [(1.33)(1.14)]0.5 - 1 = 23.13%

第一个问题，During the year1, the hoding return is (35 + 5) / 30 - 1= 33.33%, 35是资金流出、5是流入，为什么35也算作收益？

第二个问题，During the year2, the hoding return is 80 / 70 - 1 = 14.29%，分母的70，是包括了分红收到的5？为什么这个5不是本金，也要算在分母里呢


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Kiko_品职助教 · 2021年09月26日

嗨，从没放弃的小努力你好：


第一个问题，在第一期算收益时，股票价格已经涨到了35，虽然没有抛售，但表示我能够以35的价格卖出股票，获得收益，所以是正号，表示现金流流入。


第二个问题，分母的70，并不是包括分红收到的5。第二年相当于两只股票都变成35了，所以年初是35+35；年末两只股票都变成了40，第二年末两只股票都没有分红。所以相当于年末是40+40，最后HPR=80/70-1.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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