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amywangyx · 2023年07月29日

算第二年nav不需要扣除第二年的distribution吗？

  1. CFA III
  2. Alternative

NO.PZ2021060201000026

问题如下：

Johnson is an portfolio manager who discuss with the investment committee (IC) of the EUH University Endowment. He reviewed the future liquidity needs of the endowment fund and analyzes one of its holdings in a private distressed debt fund. He notes the following about the fund:

· As of the end of the most recent year:

· The net asset value of the endowment fund invested in the fund was €30,000,000.

· All capital had been called.

· At the end of the current year, Johnson expects a distribution of 20% to be paid.

· Johnson estimates that the fund’s expected growth rate is 10%..

Calculate the expected NAV of the fund at the end of the next year.

解释：

The expected NAV of the fund at the end of the next year is €29,040,000, calculated as follows:

First, the expected distribution at the end of the current year is calculated as

Expected distribution = [Prior-year NAV × (1 + Growth rate)] × (Distribution rate).

Expected distribution = [(€30,000,000 × 1.1) × 20%] = €6,600,000.

Therefore, the expected NAV of the fund at the end of the next year is

Expected NAV = [Prior-year NAV × (1 + Growth rate) + Capital contributions – Distributions)] × (1 + Growth rate).

Expected NAV = [(€30,000,000 × 1.1) + 0 − €6,600,000] × 1.1 = €29,040,000.

这个就是要记住公式

不需要再乘0.8吗根据base法则

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1 个答案

伯恩_品职助教 · 2023年07月30日

嗨，努力学习的PZer你好：


题目没说，就默认没有，因为distribution是要经过分析有多少流动性才能分的，不是固定值。而增长率，至少协会认为差不多年年是一样的。所以可以默认和之前一样的

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

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