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庄园monar · 2022年03月24日

课上不是说如果有投资进入，Money会比Time大吗？

  1. CFA I
  2. Portfolio

NO.PZ2015121801000136

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%

课上不是说如果有投资进入，Money会比Time大吗？

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1 个答案

Kiko_品职助教 · 2022年03月24日

嗨，爱思考的PZer你好：


你说的这个结论有个前提假设，就是后期的return比前期的高，这时候如果追加资金投入，相当于给后面更高的return一个更大的权重，这样才能的出来你说的结论。相反，money则小于time，就是这道题的结论。

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努力的时光都是限量版，加油！

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