答案和详解如下： 1、An investor buys one share of stock for $100. At the end of year one she buys three more shares at $89 per share. At the end of year two she sells all four shares for $98 each. The stock paid a dividend of $1.00 per share at the end of year one and year two. What is the investor’s time-weighted rate of return? A) 6.35%. B) -2.0%. C) 11.24%. D) 0.06%. The correct answer was D) The holding period return in year one is ($89.00 - $100.00 + $1.00)/$100.00 = -10.00%. The holding period return in year two is ($98.00 - $89.00 + $1.00)/$89 = 11.24%. The time-weighted return is [{1 + (-0.1000)}{1 + 0.1124}]1/2 – 1 = 0.06%. 2、An investor buys one share of stock for $100. At the end of year one she buys three more shares at $89 per share. At the end of year two she sells all four shares for $98 each. The stock paid a dividend of $1.00 per share at the end of year one and year two. What is the investor’s money-weighted rate of return? A) 0.06%. B) 6.35%. C) 5.29%. D) 1.24%. The correct answer was B) T = 0: Purchase of first share = -$100.00 T = 1: Dividend from first share = +$1.00 Purchase of 3 more shares = -$267.00 T = 2: Dividend from four shares = +4.00 Proceeds from selling shares = +$392.00 The money-weighted return is the rate that solves the equation: $100.00 = -$266.00/(1 + r) + 396.00/(1 + r)2. CFO = -100, CF1 = -266, CF2 = 396, CPT IRR = 6.35%.
3、An investor buys four shares of stock for $50 per share. At the end of year one she sells two shares for $50 per share. At the end of year two she sells the two remaining shares for $80 each. The stock paid no dividend at the end of year one and a dividend of $5.00 per share at the end of year two. What is the difference between the time-weighted rate of return and the money-weighted rate of return? A) 20.52%. B) 30.38%. C) 9.86%. D) 14.48%. The correct answer was C) T = 0: Purchase of four shares = -$200.00 T = 1: Dividend from four shares = +$0.00 Sale of two shares = +$100.00 T = 2: Dividend from two shares = +$10.00 Proceeds from selling shares = +$160.00 The money-weighted return is the rate that solves the equation: $200.00 = $100.00/(1 + r) + $170.00/(1 + r)2. Cfo = -200, CF1 = 100, Cf2 = 170, CPT IRR = 20.52%. The holding period return in year one is ($50.00 - $50.00 + $0.00)/$50.00 = 0.00%. The holding period return in year two is ($80.00 - $50.00 + $5.00)/$50 = 70.00%. The time-weighted return is [{1 - (0.00)}{1 + 0.70}]1/2 – 1 = 30.38 %. The difference between the two is 30.38% - 20.52% = 9.86%. 4、An investor buys a share of stock for $200.00 at time t = 0. At time t = 1, the investor buys an additional share for $225.00. At time t = 2 the investor sells both shares for $235.00. During both years, the stock paid a per share dividend of $5.00. What are the approximate time-weighted and money-weighted returns? Time-Weighted Return | Money-Weighted Return |
A) 7.7% 7.7% B)
10.8% 9.4% C) 9.0% 15.0% D) 12.6% 5.2% The correct answer was Time-weighted return = (225+5-200)/200 = 15%; (470+10-450)/450 = 6.67%;[(1.15)(1.0667)]1/2 – 1 = 10.8% Money weighted return: 200 + [225 / (1 + return)] = [5 / (1 + return)] + [480 / (1+return)2]; money return = approximately 9.4% Note that the easiest way to solve for the money-weighted return is to set up the equation and plug in the answer choices to find the discount rate that makes outflows equal to inflows. Using the financial calculators to calculate the money-weighted return: (The following keystrokes assume that the financial memory registers are cleared of prior work.) TI Business Analyst II Plus® §
Enter CF0: 200, +/-, Enter, down arrow §
Enter CF1: 220, +/-, Enter, down arrow, down arrow §
Enter CF2: 480, Enter, down arrow, down arrow, §
Compute IRR: IRR, CPT §
Result: 9.39 HP 12C® §
Enter CF0: 200, CHS, g, CF0
§
Enter CF1: 220, CHS, g, CFj
§
Enter CF2: 480, g, CFj §
Compute IRR: f, IRR §
Result: 9.39 5、Assume an investor makes the following investments: §
Today, she purchases a share of stock in Redwood Alternatives for $50.00. §
After one year, she purchases an additional share for $75.00. §
After one more year, she sells both shares for $100.00 each. There are no transaction costs or taxes. The investor’s required return is 35.0%. During year one, the stock paid a $5.00 per share dividend. In year two, the stock paid a $7.50 per share dividend. The time-weighted return is: A) 51.7%. B) 23.2%. C) 14.7%. D) 51.4%. The correct answer was D) To calculate the time-weighted return: Step 1: Separate the time periods into holding periods and calculate the return over that period: Holding period 1: P0 = $50.00 D1 = $5.00 P1 = $75.00 (from information on second stock purchase) HPR1 = (75 – 50 + 5) / 50 = 0.60, or 60% Holding period 2: P1 = $75.00 D2 = $7.50 P2 = $100.00 HPR2 = (100 – 75 + 7.50) / 75 = 0.433, or 43.3%. Step 2: Use the geometric mean to calculate the return over both periods Return = [(1 + HPR1) * (1 + HPR2)]1/2 – 1 = [(1.60) * (1.433)]1/2 – 1 = .5142, or 51.4%. | 
发表于 2008-4-7 15:05
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