Portfoliomanagement.performancemessung

Front 1

Difference Between MWR and TWR

Back 1

1. In MWR the Target Return is weighted with invested capital. In TWR is not the case.
2. The Time Period and the size of Capital inflow has a big effect on the MWR. TWR nutralise the effect of size of cash Infows.

Front 2

Which is a Manager and which one is Customer Return ?

Back 2

TWR is manager return, here the Investors selects the Time period and the size of capital infows. These does not effect the TWR.
MWR is the Customer Return. Because here the Capital inflow size and Time period has a effect on it.

Front 3

Handling of Charges in TWR ?

Back 3

Brutto (gross).
Vorabzug der kosten auserhalb des Einflussbereich des Managers.

Front 4

Handling of Charges in MWR ?

Back 4

Netto
nach Abzug aller Kosten der Vermögensverwaltungen

Front 5

Wie rechnet man Rendite eine Wert papiere ?

Back 5

Rendite = (Price(1) + Div(1) - Price(0) ) / Price(0)

Front 6

wie rechnet man ein Portfolio rendite mit mehere Wertschriften ?

Back 6

Gewichtete Summe der Wertschriftenrendite.
Rendite = Big Sigma [ w(i)* R(i)]
were i goes from from 1.. nos of wertschreiten in Portfolio.

Front 7

In welschen Situation wird is Korrekt Einfache Rendite zu verwenden ?

Back 7

wenn es keine kapitalveränderung (Cash-Flows) in det berechnungs period statt finden.

Front 8

Was ist eine Multiplikative Verknüpfung ?

Back 8

Unter den Annahme , dass es keine externen Kapitalmittelflüsse gibt, entspricht die Rendite für eine längere Zeitperiode mit einer Multiplication der Welth-rations von der Teilperioden.
1+r = MV(E) / MV(B) = MV(1)/MV(B) * MV(2)/MV(1) * MV(3)/MV(2) * ....MV(t-1)/MV(t-2) * MV(E)/MV(t-1)

Front 9

Zeitgewichtete Rendite (TWR) ?
1. When it is been used.
2. Formula

Back 9

TWR is used wehn there are Cash flows (in or out) during the Calculation perriod.
Each cash flow Perios is consider as a sub-period.
The return of the total period is then calculated as the multiplication of the retunrs of the sub-periods.
1+r = (MV(1) - CF(1))/ MV(B) *
(MV(2) - CF(2))/ MV(1) *
.....................
(MV(t-1) - CF(t-1))/ MV(t-2) *
(MV(E) - CF(t))/ MV(t-1)

Or
r = ((1+r1) * (1+r2) ... (1+r(n)) ) -1

Front 10

Money Weighted Return (MWR) : Modify Dietz
What is done wtth in-cash- flows ?
Formula ?

Back 10

Here the only difference is all Incash flows the interest is paid for the whole period but only the weighted Part of the Cash Flows (waight calculated for the period of the cash flow).
MV(E) = (MV(B) + Big sigma [CF(t) * W(t)] ) * (1 + r) +
Big sigma[CF(t) * (1-W(t)] --> this part of cash flows dones not contribute for Interest.

where W(t) = (TD - d(t)) / TD
TD : total days in the Period.
DT –t : nos of days for which interest is paid in the total period.

Look Grapic in Iphone.

Front 11

What is Annahme beim IRR ?
formula for IRR ?

Back 11

Internal rate of Return hat eine Annahme, dass alle Cash flows und Kapital mit IRR angelegt.

MV(E) = MV(B) * (1+r) +
Big Sigma [CF(t) * (1 + r)^W(t)]
where
W(t) = (DT - d(t)) / TD

Front 12

Diskrete v/s stetige Rendite ?
Formula ?
Properties ?

Back 12

r(continues) = Log( 1 + r(discrete)) --> drive self
Properties :
1. Continuous return is a compounf retrun ( zins auf zins)
2. Continuous return has the internal interst payment more often then an discrete return. (Haüfkeit der rendite Auszahlung)