【每日一练】CFA 一级（2015年）

Question：

Over the past four years, a portfolio experienced returns of –8%, 4%, 17%, and –12%. The geometric mean return of the portfolio over the four-year period is closest to:

A. 0.99%.

B. –0.37%.

C. 0.25%.

Answer = B

Add one to each of the given returns, then multiply them together and take the fourth root of the resulting product. 0.92 × 1.04 × 1.17 × 0.88 = 0.985121; 0.985121 raised to the 0.25 power is 0.996259. Subtracting one and multiplying by 100 gives the correct geometric mean return: [(0.92 × 1.04 × 1.17 × 0.88)0.25–1] × 100 = –0.37%.

CFA Level I

"Statistical Concepts and Market Returns," Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkle

Section 5.4.2

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