how to use TI BAII to calculate money weighted return?

CFA Level III
#1

example: march 1: portforlio value $11,200,000 march 16: contribution: $4,000,000 march 31: portfolio value $16,100,000 how to use TI BAII to calcualte the money-weighted return (assuming compounding every half-month)?

#2

use the CF function

#3

happyking02 Wrote: ------------------------------------------------------- > example: > > march 1: portforlio value $11,200,000 > march 16: contribution: $4,000,000 > march 31: portfolio value $16,100,000 > > how to use TI BAII to calcualte the money-weighted > return (assuming compounding every half-month)? I guess this question is from the vol 1 book, exam 2pm …if you go to its solution they show you the steps there. You need to use the CF spreadsheet and then compute IRR … there was another thread on this recently where someone showed the exact steps using days. Will look up the link

#4

http://www.analystforum.com/phorums/read.php?13,972424,972471#msg-972471 here u go …

#5

can you please show the key -steps? For example: CF0 =0 C01 =-112,000,000 F01 =1 C02 =-4,000,000 F02=1 C03 = 16,200,000 F03=1

#6

happyking02 Wrote: ------------------------------------------------------- > can you please show the key -steps? > > For example: > > CF0 =0 > C01 =-112,000,000 > F01 =1 > C02 =-4,000,000 > F02=1 > C03 = 16,200,000 > F03=1 ** I THINK ** CF0 = 112,000,000 C01 = 0 F01 =15 C02 = 4,000,000 F02=14 C03 = -16,200,000 F03=1 Anyone care to confirm?

#7

ok, got it: CF0 =-112,000,000 C01 =-4,000,000 F01=1 C02 = 16,100,000 F02=1 IRR=3.36% (half-month return) 1.0336^2-1 =6.8%