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Oct_ · 2019年11月23日

这道题目不完整

  1. CFA I
  2. Portfolio

问题如下：

A fund receives investments at the beginning of each year and generates returns
as shown in the table.

选项：

A.

Geometric mean return

B.

Time-weighted rate of return

C.

Money-weighted rate of return

解释：

C is correct. The money-weighted rate of return considers both the timing and amounts of investments into the fund. To calculate the money-weighted rate of return, tabulate the annual returns and investment amounts to determine the cash flows

CF0 = –$1,000, CF1 = –$2,850, CF2 = –$40,440, CF3 = +$43,200

Each cash inflow or outflow occurs at the end of each year. Thus, CF0 refers to the cash flow at the end of Year 0 or beginning of Year 1, and CF3 refers to the cash flow at end of Year 3 or beginning of Year 4. Because cash flows are being
discounted to the present—that is, end of Year 0 or beginning of Year 1—the period of discounting CF0 is zero whereas the period of discounting for CF3 is 3 years. Results in a value of r = –2.22%

Note that B is incorrect because the time-weighted rate of return (TWR) of the fund is the same as the geometric mean return of the fund and is thus positive

应该是问

what's the best method to calculate the rate of return at this circumstance.

最后这个问题在题干里漏了

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1 个答案

星星_品职助教 · 2019年11月23日

同学你好，

感谢提示，遗漏的问题应该是“Which return measure over the three-year period is negative?“

我从问题里看不到这道题的题号，如果有的话麻烦提供一下，我去修改题干，多谢~

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