An analyst does research about money-weigh

问题单项选择题

An analyst does research about money-weighted rate of return and time-weighted rate of return. On 30 June 2010, an investor opened an account with $1000000. The account experienced the following activity over the next two years:

Date	Withdrawals	Net Ending Balance
30 June 2011	$471000	$451000
30 June 2012	—	$499900

As of 30 June 2012, the investor's money-weighted rate of return and timeweighted rate of return:（）

A. are both positive.

B. are both negative.

C. have different signs.

答案

参考答案：C

解析：

货币加权收益率(money-weighted rate of return)：

0=-1000000+471000/(1+MWR)¹+499900/(1+MWR)²，得出MWR=-1.93%。

时间加权收益率(time-weighted rate of return)：

根据题意可知：R₁=(471000+451000-1000000)/1000000=-7.8%，R₂= (499900-451000)/451000=10.84%，得出：

TWR=[(1-7.8%)(1+10.84%)]^1/2-1=1.09%。

所以，两种收益率是不同符号的。