NO.PZ2024020101000022
问题如下：
Squaw Valley Fund of Funds (SVFOF) charges a 1% management fee and 10% incentive fee and invests an equal amount of its assets into two individual hedge funds: Pyrenees Fund (PF) and Ural Fund (UF), each charging a 2% management fee and a 20% incentive fee. For simplicity in answering the following questions, please ignore fee compounding and assume that all fees are paid at year-end.If PF’s manager earns a gross return of 20% but UF’s manager loses 5%, what is the net-of-fee return for an investor in SVFOF?选项：
A.14.40% B.3.70% C.2.43%解释：
Net of Fees Return
for PF Investor = (20% – 2% – 3.6%) = 14.4%;
Net of Fees Return
for UF Investor = (–5% – 2% – 0%) = –7.0%;
Gross Return for
SVFOF Investor = (0.5 x 14.4% + 0.5 x – 7.0%) = 3.7%;
Net of Fees Return
for SVFOF Investor = (3.7% – 1% – 0.27%) = 2.43%, where 0.27% = 10% x (3.7% –
1%).
rt
