答案和详解如下：
Q1. 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) 14.48%. C) 9.86%. Correct answer is 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%. Q2. 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) 5.29%. B) 6.35%. C) 0.06%. Correct answer is 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%. | 
发表于 2008-12-30 16:58
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