开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

xyrg+ · 2022年11月03日

图片是上课讲的FOF的例子

  1. CFA I
  2. Alternative

NO.PZ2016031203000013

问题如下：

Capricorn Fund of Funds invests GBP 100 million in each of Alpha Hedge Fund and ABC Hedge Fund. Capricorn FOF has a "1 and 10" fee structure. Management fees and incentive fees are calculated independently at the end of each year. After one year, net of their respective management and incentive fees, the investment in Alpha is valued atGBP80 million and the investment in ABC is valued at GBP140 million. The annual return to an investor in Capricorn, net of fees assessed at the fund of funds level, is closest to:

选项：

A.

7.9%.

B.

8.0%.

C.

8.1%.

解释：

A is correct.

because the net investor return is 7.9%, calculated as:

First, note that "1 and 10" refers to a 1% management fee, and a 10% incentive fee.

End of year capital = GBP140 million + GBP80 million = GBP220 million

Management fee = GBP220 million × 1% = GBP2.2 million

Incentive fee = (GBP220 − GBP200) million × 10% = GBP2 million

Total fees to Capricorn = (GBP2.2 + GBP2) million = GBP4.2 million

Investor net return: (GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%

FOF年底的AUM=GBP140 million + GBP80 million = GBP220 million

所以管理费=GBP220 million × 1% = GBP2.2 million

本题绩效奖和管理费是单独计算

因此，绩效奖=(GBP220 − GBP200) million × 10% = GBP2 million

所以总费用=(GBP2.2 + GBP2) million = GBP4.2 million

所以净收益=(GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%


图片是上课讲的FOF的例子。在算母基金时，期末收益是240-(2+4)*2，抛去了子基金的绩效奖和管理费。所以本题在算母基金年末收益的时候，为什么直接80+140=220，而不是（80+140）- (1.6+2.8+8) 呢？

添加评论
1 个答案

Lucky_品职助教 · 2022年11月06日

嗨，从没放弃的小努力你好：


本体的问题中特别强调了net of fee，所以是扣除费用前的收益哦

The annual return to an investor in Capricorn, net of fees assessed at the fund of funds level, is closest to:

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 1

    关注

  • 401

    浏览
相关问题

NO.PZ2016031203000013 问题如下 Capricorn Funof Fun invests G100 million in eaof Alpha Hee FunanAHee Fun Capricorn FOF ha \"1 an10\" fee structure. Management fees anincentive fees are calculateinpenntly the enof eayear. After one year, net of their respective management anincentive fees, the investment in Alpha is valueatGBP80 million anthe investment in Ais valueGBP140 million. The annureturn to investor in Capricorn, net of fees assessethe funof fun level, is closest to: A.7.9%. B.8.0%. C.8.1%. A is correct.because the net investor return is 7.9%, calculateas:First, note th\"1 an10\" refers to a 1% management fee, ana 10% incentive fee.Enof yecapit= GBP140 million + GBP80 million = GBP220 millionManagement fee = GBP220 million × 1% = GBP2.2 millionIncentive fee = (GBP220 − GBP200) million × 10% = GBP2 millionTotfees to Capricorn = (GBP2.2 + GBP2) million = GBP4.2 millionInvestor net return: (GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%FOF年底的AUM=GBP140 million + GBP80 million = GBP220 million所以管理费=GBP220 million × 1% = GBP2.2 million本题绩效奖和管理费是单独计算因此，绩效奖=(GBP220 − GBP200) million × 10% = GBP2 million所以总费用=(GBP2.2 + GBP2) million = GBP4.2 million所以净收益=(GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9% 老师能画图下吗

2024-01-25 20:54 2 · 回答

NO.PZ2016031203000013 问题如下 Capricorn Funof Fun invests G100 million in eaof Alpha Hee FunanAHee Fun Capricorn FOF ha \"1 an10\" fee structure. Management fees anincentive fees are calculateinpenntly the enof eayear. After one year, net of their respective management anincentive fees, the investment in Alpha is valueatGBP80 million anthe investment in Ais valueGBP140 million. The annureturn to investor in Capricorn, net of fees assessethe funof fun level, is closest to: A.7.9%. B.8.0%. C.8.1%. A is correct.because the net investor return is 7.9%, calculateas:First, note th\"1 an10\" refers to a 1% management fee, ana 10% incentive fee.Enof yecapit= GBP140 million + GBP80 million = GBP220 millionManagement fee = GBP220 million × 1% = GBP2.2 millionIncentive fee = (GBP220 − GBP200) million × 10% = GBP2 millionTotfees to Capricorn = (GBP2.2 + GBP2) million = GBP4.2 millionInvestor net return: (GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%FOF年底的AUM=GBP140 million + GBP80 million = GBP220 million所以管理费=GBP220 million × 1% = GBP2.2 million本题绩效奖和管理费是单独计算因此，绩效奖=(GBP220 − GBP200) million × 10% = GBP2 million所以总费用=(GBP2.2 + GBP2) million = GBP4.2 million所以净收益=(GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9% ABC这个基金从100到140，有40能算Incentive fee。 记得有道例题是FOF结构的底层和上层基金都要计算incentive fee 和 management fee 的， 为什么这题只算了上层的费用， 题目中明明说了费用计算是Inpenntly的呀。

2023-11-04 17:24 1 · 回答

NO.PZ2016031203000013问题如下Capricorn Funof Fun invests G100 million in eaof Alpha Hee FunanAHee Fun Capricorn FOF ha \"1 an10\" fee structure. Management fees anincentive fees are calculateinpenntly the enof eayear. After one year, net of their respective management anincentive fees, the investment in Alpha is valueatGBP80 million anthe investment in Ais valueGBP140 million. The annureturn to investor in Capricorn, net of fees assessethe funof fun level, is closest to:A.7.9%.B.8.0%.C.8.1%.A is correct.because the net investor return is 7.9%, calculateas:First, note th\"1 an10\" refers to a 1% management fee, ana 10% incentive fee.Enof yecapit= GBP140 million + GBP80 million = GBP220 millionManagement fee = GBP220 million × 1% = GBP2.2 millionIncentive fee = (GBP220 − GBP200) million × 10% = GBP2 millionTotfees to Capricorn = (GBP2.2 + GBP2) million = GBP4.2 millionInvestor net return: (GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%FOF年底的AUM=GBP140 million + GBP80 million = GBP220 million所以管理费=GBP220 million × 1% = GBP2.2 million本题绩效奖和管理费是单独计算因此，绩效奖=(GBP220 − GBP200) million × 10% = GBP2 million所以总费用=(GBP2.2 + GBP2) million = GBP4.2 million所以净收益=(GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%老师请翻译题目内容。我理解，80和140都是年末 单独 扣除管理费和激励费后的数字，为什么不直接（80+140-200）/200呢？

2023-07-30 20:04 1 · 回答

如果投资失败，原本100 现在变80，那还要付intencive fee吗

2020-03-03 11:24 2 · 回答