I-TVM-Applications-5

Question 1

理解interest rate的三种方式

Answer 1

1. required rate of return
2. discount rate
3. opportunity cost

Question 2

required interest rate =

equation

Answer 2

= real risk-free interest rate + inflation premium + default risk premium + liquidity premium + maturity premium

Question 3

票面年利率

Answer 3

stated annual interest rate

Question 4

continuous compouding

equation

Answer 4

Question 5

【已知票面年利率r】

Effective Annual Rate (EAR)

equation

Answer 5

EAR = (1 + r/m)^m - 1

Question 6

with continuous compounding,

EAR equation

Answer 6

既然是有效年利率，

则时间都以一年为标准计算

Question 7

ordinary annuity

Answer 7

• 普通年金,每个计复利期末发生现金流
• 先付年金,每个计复利期初支付现金流
• 永续年金，期末产生现金流

Question 8

present value of perpetuity

equation

Answer 8

Question 9

level payment

Answer 9

平均支付

Question 10

Answer 10

Question 11

Answer 11

Question 12

Net Present Value

Answer 12

NPV

the present value of an investment’s cash inflows minus

the present value of its cash outflows

Question 13

NPV rule

Answer 13

if NPV positive → undertake

NPV negative → not undertake

(higher positive NPV)

Question 14

Internal Rate of Return

Answer 14

IRR

the discount rate that makes the NPV = 0

Question 15

IRR rule

Answer 15

Accept investments for which the IRR

is greater than the opportunity cost of capital

Question 16

NPV rule and IRR rule rank projects in conflict

when

Answer 16

1. the scale of investments may differ and/or
2. the timing of the cash flows may differ.

Question 17

Holding Period Yield

equation

Answer 17

HPY, 持有期收益率

Question 18

Money Market Yield (r_MM)

equation

Answer 18

money market yield = (HPY)(360/t)

Question 19

effective annual yield

equation

Answer 19

EAY

Question 20

bond equivalent yield

equation

两种算法

（已知BEY求HPY，及已知HPY求BEY）

Answer 20

BEY

前半年复利，后两倍单利至一年

(1+BEY/2)² = 1 + EAR = (1 + HPY)^365/t

[（1 + HPY）^182.5/t] * 2 = BEY

Question 21

bank discount yield (r_BD)

equation

普通写法和

T-bills中的写法

Answer 21

r_BD = (FV - PV) / FV * 360/t

Question 22

money market yield

与r_BD

的转换

Answer 22

Question 23

基于银行贴现计算出来的收益率

不能代表投资实际收益率

3个原因

Answer 23

HPY = D / F - D

r_bd = D / F * (360/t)

Question 24

比较HPY及其他条件相同情况下

一下利率大小

r_MM

EAY

BEY

r_BD

Answer 24

r_BD < r_MM < BEY < EAY

Question 25

two measurement tools of

portfolio return measurement

Answer 25

money-weighted rate of return

time-weighted rate of return

Question 26

time-weighted return

计算方法

Answer 26

各期HPR的几何平均数

注意TWRR是年化概念

若HPR不是年份数据，应注意年化

Question 27

money-weighted return

计算方法

Answer 27

即IRR

注意年化概念

Question 28

money-weighted return

time-weighted return

比较异同

Answer 28

M对投入时间、金额较敏感，有纪律有规律的投资人（定投），可用此计算回报

T对投入时间、金额不敏感，无规律的投资（积极投资），用此计算回报更为准确。