固定收益证 券Liability-Driven Strategies.pptVIP

* Performance Measures (continued) Time-Weighted Rate of Return In general, the arithmetic and time-weighted average returns will give different values for the portfolio return over some evaluation period. This is because in computing the arithmetic average rate of return, the amount invested is assumed to be maintained (through additions or withdrawals) at its initial portfolio market value. The time-weighted return, on the other hand, is the return on a portfolio that varies in size because of the assumption that all proceeds are reinvested. Performance Measures (continued) Time-Weighted Rate of Return In general, the arithmetic average rate of return will exceed the time-weighted average rate of return. The exception is in the special situation where all the subperiod returns are the same, in which case the averages are identical. The magnitude of the difference between the two averages is smaller the less the variation in the subperiod returns over the evaluation period. For example, suppose that the evaluation period is four months and that the four monthly returns are as follows: RP1 = 0.04; RP2 = 0.06 ; RP3 = 0.02 ; RP4 = ─0.02. The average arithmetic rate of return is 2.5% and the time-weighted average rate of return is 2.46%, which is a small difference. In our earlier example in which we calculated an average rate of return of 25% but a time-weighted average rate of return of 0%, the large discrepancy is due to the substantial variation in the two monthly returns. Performance Measures (continued) Dollar-Weighted Rate of Return The dollar-weighted rate of return is computed by finding the interest rate that will make the present value of the cash flows from all the subperiods in the evaluation period plus the terminal market value of the portfolio equal to the initial market value of the portfolio. Cash flows are defined as follows: A cash withdrawal is treated as a cash inflow. So, in the absence of any cash contribution made by a client for a given time p