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标题: Time weighted return [打印本页]

作者: cmacedo 时间: 2011-7-13 14:44 标题: Time weighted return

Based on the follwoing portfolio year end values, what is the time weighted return of a $60m investment closest to

Year 1 $70m - Following the receipt into the fund of $5m at the end of the year

Year 2 $75 m - No receipt at the end of the year

A. 11.3%
B. 9.8%
c. 7.7 %

Answer is A.

HPR1: (70-5) - 60/60 x 100
HPR2: (75-70)/70 x 100

Question: Why are those $5m received in the 1st year subtracted from the HPR calculation? Shouldn't we include dividends in HPR calculations?

(65 - 60 +5)/60 x 100

Please help!

作者: soddy1979 时间: 2011-7-13 14:44

thanks!! all clear now.

作者: evolsteevol 时间: 2011-7-13 14:44

shouldnt the second part be 75-65/65 then? Since you're trying to see the return excluding any incoming cash flows?

作者: disiz64 时间: 2011-7-13 14:44

Shouldn't the correct answer be C?

HPR1: (70-5) - 60/60 x 100 = [65-60]/60 = 0.0833
HPR2: (75-70)/70 x 100 = [75-70]/70 = 0.0714

[1.0833 * 1.0714]^1/2 = 1.0773 - 1 *100 = 7.7334 = Option C?

Am I missing something here?

作者: pogo 时间: 2011-7-13 14:44

What is the calculation to get 11.3%

I'm also getting 7.7%

作者: nitoha 时间: 2011-7-13 14:44

I got C, as well. I did it like this:

Year 1: (70-5)/60 = 1.0833
Year 2: 75/70 = 1.0714

TWR = ((1.0833)(1.0714)^.5) - 1 = 7.74%

作者: evolsteevol 时间: 2011-7-13 14:44

hh Wrote:
-------------------------------------------------------
> Did anyone ever figure this out?
>
> thanks

Check the consensus of the previous 3 answers.

作者: Beatnik 时间: 2011-7-13 14:45

I got C as well.

Errata?

作者: jim8z3 时间: 2011-7-13 14:45

Wow, this post makes me feel like crap. I read the question and was like, I can't remember the answer to this. Then I realized I initially provided an answer.

Weak.

作者: Siddimaula 时间: 2011-7-13 14:45

Answer should be C.

作者: JPSem 时间: 2011-7-13 14:45

I also got C after discovering that the $5 was an interim cash flow that should have been deducted from the year-end values.

Answer is C: 7.73%

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