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charlie299 · 2023年09月15日

gross return

  1. CFA I
  2. Quantitative

NO.PZ2023052302000011

问题如下：

An investment manager’s gross return is:

选项：

A.

an after-tax nominal, risk-adjusted return.

B.

the return earned by the manager prior to deduction of trading expenses.

C.

an often used measure of an investment manager’s skill because it does not include expenses related to management or administration.

解释：

C is correct. Gross returns are calculated on a pre-tax basis; trading expenses are accounted for in the computation of gross returns as they contribute directly to the returns earned by the manager. A is incorrect because investment managers’

gross returns are pre-tax and not adjusted for risk. B is incorrect because managers’ gross returns do reflect the deduction of trading expenses since they contribute directly to the return earned by the manager.

gross return 不是只扣除trading expenses吗？应该包括management expenses吧？

为什么说 it does not include expenses related to management and administration 呢？



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星星_品职助教 · 2023年09月17日

同学你好，

return是收益，收益的组成部分里不会去“包含”expense。即收益和费用是相反的概念，通常不用彼此“包含”来描述。Return和Expense两者之间的关系用是否“扣除”来描述和衡量。

所以理解如下：

1）Gross return中没有“扣除”管理费用；

2）it does not include expenses related to management or administration指的是在计算gross return的这个过程里，不包括管理费。同样也是不扣管理费的意思。本题的描述和教材/讲义是一致的。

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