20、An analyst gathered the following information ($ millions) about the performance of a portfolio:

Quarte    Value at Beginning

of Quarter

(prior to inflow or outflow)  Cash Inflow (Outflow)

At Beginning of Quarter      Value at End

of Quarter

1     2.0  0.2  2.4

2     2.4  0.4  2.6

3     2.6  (0.2)       3.2

4     3.2  1.0  4.1

The portfolio's annual time-weighted rate of return is closest to:

A. 8%.

B. 27%.

C. 32%.

D. 60%.

答案和详解如下：

20、Correct answer is C

"Discounted Cash Flow Applications," Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel

2008 Modular Level I, Vol. 1, pp. 221-229

Study Session 2-6-c

calculate, interpret, and distinguish between the money-weighted and time-weighted rates of return of a portfolio and appraise the performance of portfolios based on these measures

The time-weighted rate of return is calculated by computing the quarterly holding period returns and linking those returns into an annual return:

1.0909 x 0.9286 x 1.3333 x 0.9762 = 1.3185.

1.3185 - 1 = 0.3185 or 31.85%.