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. | 
发表于 2008-4-7 15:02
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