1、An analyst managed a portfolio for many years and then liquidated it. Computing the internal rate of return of the inflows and outflows of a portfolio would give the:

A)   time-weighted return.

B)   ratio of (1 + time-weighted return)/(1 + risk-free rate).

C)   net present value.

D)   money-weighted return.

2、Which of the following statements regarding the money-weighted and time-weighted rates of return is least accurate?

A)   The time-weighted rate of return reflects the compound rate of growth of one unit of currency over a stated measurement period.

B)   The time-weighted rate of return is the standard in the investment management industry.

C)   The money-weighted rate of return is the internal rate of return on a portfolio, taking into account all cash flows.

D)   The money-weighted rate of return removes the effects of the timing of additions and withdrawals to a portfolio.

3、The money-weighted return also is known as the:

A)   perfect return for a portfolio.

B)   internal rate of return (IRR) of a portfolio.

C)   measure of the compound rate of growth of $1 over a stated measurement period.

D)   return on invested capital.

4、Which of the following is TRUE with respect to the relationship of the money-weighted return to the time-weighted return? If funds are contributed to a portfolio just prior to a period of favorable performance, the:

A)   money-weighted rate of return will tend to be depressed.

B)   time-weighted rate of return will tend to be elevated.

C)   money-weighted rate of return will tend to be elevated.

D)   time-weighted rate of return will tend to be depressed.

5、Why is the time-weighted rate of return the preferred method of performance measurement?

A)   Time-weighted returns are not influenced by the timing of cash flows.

B)   There is no preference for time-weighted versus money-weighted.

C)   Time-weighted returns elevate portfolio performance when contributions are received while money-weighted would reduce portfolio performance.

D)   Time weighted allows for inter-period measurement and therefore is more flexible in determining exactly how a portfolio performed during a specific interval of time.

答案和详解如下：

1、An analyst managed a portfolio for many years and then liquidated it. Computing the internal rate of return of the inflows and outflows of a portfolio would give the:

A)   time-weighted return.

B)   ratio of (1 + time-weighted return)/(1 + risk-free rate).

C)   net present value.

D)   money-weighted return.

The correct answer was D)

The money-weighted return is the internal rate of return on a portfolio that equates the present value of inflows and outflows over a period of time.

2、Which of the following statements regarding the money-weighted and time-weighted rates of return is least accurate?

A)   The time-weighted rate of return reflects the compound rate of growth of one unit of currency over a stated measurement period.

B)   The time-weighted rate of return is the standard in the investment management industry.

C)   The money-weighted rate of return is the internal rate of return on a portfolio, taking into account all cash flows.

D)   The money-weighted rate of return removes the effects of the timing of additions and withdrawals to a portfolio.

The correct answer was D)

The money-weighted return is actually highly sensitive to the timing and amount of withdrawals and additions to a portfolio. The time-weighted return removes the effects of timing and amount of withdrawals to a portfolio and reflects the compound rate of growth of $1 over a stated measurement period. Because the time-weighted rate of return removes the effects of timing, it is the standard in the investment management industry.

3、The money-weighted return also is known as the:

A)   perfect return for a portfolio.

B)   internal rate of return (IRR) of a portfolio.

C)   measure of the compound rate of growth of $1 over a stated measurement period.

D)   return on invested capital.

The correct answer was B)

It is the IRR of a portfolio, taking into account all of the cash inflows and outflows.

4、Which of the following is TRUE with respect to the relationship of the money-weighted return to the time-weighted return? If funds are contributed to a portfolio just prior to a period of favorable performance, the:

A)   money-weighted rate of return will tend to be depressed.

B)   time-weighted rate of return will tend to be elevated.

C)   money-weighted rate of return will tend to be elevated.

D)   time-weighted rate of return will tend to be depressed.

The correct answer was C)    

The time-weighted returns are what they are and will not be affected by cash inflows or outflows. The money-weighted return is susceptible to distortions resulting from cash inflows and outflows. The money-weighted return will be biased upward if the funds are invested just prior to a period of favorable performance and will be biased downward if funds are invested just prior to a period of relatively unfavorable performance. The opposite will be true for cash outflows.

5、Why is the time-weighted rate of return the preferred method of performance measurement?

A)   Time-weighted returns are not influenced by the timing of cash flows.

B)   There is no preference for time-weighted versus money-weighted.

C)   Time-weighted returns elevate portfolio performance when contributions are received while money-weighted would reduce portfolio performance.

D)   Time weighted allows for inter-period measurement and therefore is more flexible in determining exactly how a portfolio performed during a specific interval of time.

The correct answer was A)

Money-weighted returns are sensitive to the timing or recognition of cash flows while time-weighted rates of return are not.