I-TVM-Applications-5 Flashcards
理解interest rate的三种方式
- required rate of return
- discount rate
- opportunity cost
required interest rate =
equation
= real risk-free interest rate + inflation premium + default risk premium + liquidity premium + maturity premium
票面年利率
stated annual interest rate
continuous compouding
equation
【已知票面年利率r】
Effective Annual Rate (EAR)
equation
EAR = (1 + r/m)m - 1
with continuous compounding,
EAR equation
既然是有效年利率，
则时间都以一年为标准计算
ordinary annuity
- 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
present value of perpetuity
equation
level payment
平均支付
Net Present Value
NPV
the present value of an investment’s cash inflows minus
the present value of its cash outflows
NPV rule
if NPV positive → undertake
NPV negative → not undertake
(higher positive NPV)
Internal Rate of Return
IRR
the discount rate that makes the NPV = 0
IRR rule
Accept investments for which the IRR
is greater than the opportunity cost of capital
NPV rule and IRR rule rank projects in conflict
when
- the scale of investments may differ and/or
- the timing of the cash flows may differ.
Holding Period Yield
equation
HPY, 持有期收益率
Money Market Yield (rMM)
equation
money market yield = (HPY)(360/t)
effective annual yield
equation
EAY
bond equivalent yield
equation
两种算法
（已知BEY求HPY，及已知HPY求BEY）
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
bank discount yield (rBD)
equation
普通写法和
T-bills中的写法
rBD = (FV - PV) / FV * 360/t
money market yield
与rBD
的转换
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
HPY = D / F - D
rbd = D / F * (360/t)
比较HPY及其他条件相同情况下
一下利率大小
rMM
EAY
BEY
rBD
rBD < rMM < BEY < EAY
two measurement tools of
portfolio return measurement
money-weighted rate of return
time-weighted rate of return
time-weighted return
计算方法
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
money-weighted return
计算方法
即IRR
注意年化概念
money-weighted return
time-weighted return
比较异同
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。
