[CFA模拟真题] 2006 CFA Level I －NO13 medium, border, following, auto

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

Quarter	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抯 annual time-weighted rate of return is closest to:

 

Select exactly 1 answers from the following:
A. 8%. B. 27%. C. 32%. D. 60%.
答案和详解如下！
Feedback: Correct answer: C

 

Quantitative Methods for Investment Analysis, Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkle (CFA Institute, 2004), pp. 65?2

2006 Modular Level I, Vol. I, pp. 245-253

Study Session 2-7-d

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%.

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