标题: Reading 43: Evaluating Portfol....rmance－LOS c,(Part 2) [打印本页]
作者: tycoon 时间: 2008-9-17 16:51 标题: [2008] Session 16- Reading 43: Evaluating Portfol....rmance－LOS c,(Part 2)
CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 43: Evaluating Portfolio Performance
LOS c, (Part 2): Discuss how time-weighted and money-weighted rates of return are affected by cash contributions and withdrawals.
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作者: tycoon 时间: 2008-9-17 16:52
Tom Stovall is a portfolio manager who tracks the Wilshire 5000 Index. He received a large cash inflow from a client prior to a bull market. Which of the following most accurately characterizes the relationship for the time-weighted return and the money-weighted return for Tom? The time-weighted return will be:
| A) | inflated by the timing of the cash inflow and the time-weighted return will be larger than the money-weighted return. |
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| B) | unaffected by the timing of the cash inflow and the time-weighted return will be larger than the money-weighted return. |
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C) | unaffected by the timing of the cash inflow and the time-weighted return will be smaller than the money-weighted return. |
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| D) | inflated by the timing of the cash inflow and the time-weighted return will be smaller than the money-weighted return. |
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Answer and Explanation
If a manager receives a large cash inflow from a client prior to a bull market, the money-weighted return will be higher than the time-weighted return. The time-weighted return will be unaffected by the timing of the cash inflow.
作者: tycoon 时间: 2008-9-17 16:52
One limitation of the money-weighted return is the fact that it:
| A) | requires computations every time a cash flow occurs. |
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| B) | does not capture the differences in currency values. |
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C) | penalizes managers for cash flows that occur outside of their control. |
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| D) | computes the return independent of the cash flows. |
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Answer and Explanation
The money-weighted return computation penalizes managers for cash flows that occur outside of their control.
作者: tycoon 时间: 2008-9-17 16:52
One limitation of the time-weighted return is the fact that it:
A) | requires computations every time a cash flow occurs. |
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| B) | requires the computation of the internal rate of return every time a cash flow occurs. |
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| C) | penalizes managers for cash flows that occur outside of their control. |
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| D) | is difficult to compare with standard industry benchmarks. |
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Answer and Explanation
The time-weighted return computation requires computation of return every time a cash flow occurs. One of the advantages of the time-weighted return is that passive benchmarks use the same calculation methodology which makes it comparable to passive benchmarks and other portfolio managers.
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