买了schweser level one notes,第153页，有题不太明白

A buys 1000 shares of morris tool stock for $35 per share. one year later the stock is $38 per share and has paid a dividend of $1.50 per share. A reinvests the dividends in additional shares at the time. at the end of the second year, the shares are trading for $37 and have paid $2 dividends over the period.

B buys 500 shares of Morris tool stock for $35 per share. one year later the stock is $38 per share and has paid a dividend of $1.50 per share. B reinvests the dividends in additional shares at that time and also buys 500 additional shares. at the end of the second year, the shares are trading for $37 and have paid $2 in dividends over the period.

question 1. compare the annual time-weighted returns for the accounts of the two investors

             2. compare the annual money-weighted returns for the accounts of the two investors

问题1 我自己做的计算就是

Time-weight return

A holding period 1 Beginning=35000,D=1500,Ending=38000,so HPR1=12.86%

   holding period 2 Beginning=38000,D=2000,Ending=37000,so HPR2=2.63%

   so time weight return=7.62%

B holding period 1 Beginning=17500,D=1500,Ending=19000,so HPR1=17.14%

   holding period 2 Beginning=38000,D=2000,Ending=37000,so HPR2=2.63%

   so time weight return=9.65%

可是答案说both investors have held the same single stock for both periods, so the time-weighted returns must be identical for both accounts.

可是我自己算出来就不一样啊，一个7.62%一个9.65%

问题2 money-weighted return

A t=0  +35000

   t=1  +38000

          -1500

          =36500

   t=2  -37000

           -2000

           =-39000           money-weight return=-34.41%

B t=0  +17500

   t=1  +38000

          -1500

          =36500

   t=2  -37000

           -2000

           =-39000           money-weight return=-22.18%

答案说the performance of the stock was better in the first year than in the second. since B increased his holdings for the second period by more than A, the B accounts has a greater weight on the poorer returns in a money-weighted return calculation and will have a lower annual money-weighted rate of return over the two-year period than B.

可是我算出来的-34.41%<-22.18%

我是不是完全算错了呢？请高手指点！！！！！！！！

Time Weighted Return:

A:

r_a1=(38+1.5-35)/35=12.86%

hoho,thanks forwhat

Time-weight return

A holding period 1 Beginning=35000,D=1500,Ending=38000,so HPR1=12.86%

   holding period 2 Beginning=38000,D=2000,Ending=37000,so HPR2=2.63%

   so time weight return=7.62%

B holding period 1 Beginning=17500,D=750,Ending=19000,so HPR1=12.86%

   holding period 2 Beginning=38000,D=2000,Ending=37000,so HPR2=2.63%

   so time weight return=7.62%

答案说both investors have held the same single stock for both periods, so the time-weighted returns must be identical for both accounts.

问题2 money-weighted return

A t=0  +35000

   t=1  -1500

   t=2  -37000

           -2000

           =-39000           money-weight return=7.724%

B t=0  +17500

   t=1  +19000

          -750

          =18250

   t=2  -37000

           -2000

           =-39000           money-weight return=5.9855%

答案说the performance of the stock was better in the first year than in the second. since B increased his holdings for the second period by more than A, the B accounts has a greater weight on the poorer returns in a money-weighted return calculation and will have a lower annual money-weighted rate of return over the two-year period than A.

[此贴子已经被作者于2010-3-18 15:09:36编辑过]