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苏·Xu · 2023年06月10日

另类

  1. CFA I
  2. Alternative

NO.PZ2021103102000049

问题如下：

Capricorn Fund of Funds invests GBP150 million in each of Alpha Hedge Fund and ABC Hedge Fund. Capricorn Fund of Funds 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, Capricorn’s investment in Alpha is valued at GBP 80 million and Capricorn’s investment in ABC is valued at GBP240 million. The annual return to an investor in Capricorn Fund of Funds, net of fees assessed at the fund-of-funds level, is closest to:

选项：

A.4.93% B.4.33% C.4.48%

解释：

投资者的净回报率为4.93%，计算如下：

首先要注意，“1和10”是指1%的管理费和10%的奖励费。

年终资产价值 = GBP240 m + GBP80 m = GBP320 m

管理费 = GBP320 m × 1% = GBP3.2 m

奖励费 = (GBP320 m – GBP300 m) × 10% = GBP2 m

总费用 = (GBP3.2 m + GBP2 m) = GBP5.2 m

投资者净回报：(GBP320 m – GBP300 m – GBP5.2 m )/ GBP300 m = 4.93%。

题目不是已经说了“After one year, net of their respective management and incentive fees, Capricorn’s investment in Alpha is valued at GBP 80 million and Capricorn’s investment in ABC is valued at GBP240 million.”，也就是这个80 和 240 是扣除了管理费和激励的不是吗？

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1 个答案

Lucky_品职助教 · 2023年06月11日

嗨，爱思考的PZer你好：


这是一个FOF，“After one year, net of their respective management and incentive fees, Capricorn’s investment in Alpha is valued at GBP 80 million and Capricorn’s investment in ABC is valued at GBP240 million.” 这句话的意思是底层子基金已经扣除费用了，我们计算的1,10，是母基金层面的

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