买了schweser level one notes,第153页，有题不太明白
A buys 1000 shares of morris tool stock for $35 per share. one year later the stock is $38 per share and has paid a dividend of $1.50 per share. A reinvests the dividends in additional shares at the time. at the end of the second year, the shares are trading for $37 and have paid $2 dividends over the period.
B buys 500 shares of Morris tool stock for $35 per share. one year later the stock is $38 per share and has paid a dividend of $1.50 per share. B reinvests the dividends in additional shares at that time and also buys 500 additional shares. at the end of the second year, the shares are trading for $37 and have paid $2 in dividends over the period.
question 1. compare the annual time-weighted returns for the accounts of the two investors
2. compare the annual money-weighted returns for the accounts of the two investors
问题1 我自己做的计算就是
Time-weight return
A holding period 1 Beginning=35000,D=1500,Ending=38000,so HPR1=12.86%
holding period 2 Beginning=38000,D=2000,Ending=37000,so HPR2=2.63%
so time weight return=7.62%
B holding period 1 Beginning=17500,D=1500,Ending=19000,so HPR1=17.14%
holding period 2 Beginning=38000,D=2000,Ending=37000,so HPR2=2.63%
so time weight return=9.65%
可是答案说both investors have held the same single stock for both periods, so the time-weighted returns must be identical for both accounts.
可是我自己算出来就不一样啊，一个7.62%一个9.65%
问题2 money-weighted return
A t=0 +35000
t=1 +38000
-1500
=36500
t=2 -37000
-2000
=-39000 money-weight return=-34.41%
B t=0 +17500
t=1 +38000
-1500
=36500
t=2 -37000
-2000
=-39000 money-weight return=-22.18%
答案说the performance of the stock was better in the first year than in the second. since B increased his holdings for the second period by more than A, the B accounts has a greater weight on the poorer returns in a money-weighted return calculation and will have a lower annual money-weighted rate of return over the two-year period than B.
可是我算出来的-34.41%<-22.18%
我是不是完全算错了呢？请高手指点！！！！！！！！
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发表于 2010-3-18 13:31
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