NO.PZ2023103101000059
问题如下:
Q. A hedge fund with net capital of GBP500 million has borrowed an additional GBP200 million at 4.5% per annum. The current-year return of the fund is 15%. What would have been the return if the fund had not added any leverage?
选项:
A.10.70%
B.12.00%
C.19.20%
解释:
B is correct.
Using Equation 2,
rL = Leveraged portfolio return/Cash position = [r × (Vb+Vc) – (Vb × rb)]/Vc.Or, after re-arranging the formula,r= ( Vc×rL )+(Vb×rb)(Vc+Vb).Substituting rL = 0.15, Vb = 200, Vc = 500, rb = 0.045,r = (500 × 0.15) + (200 × 0.045)/(200 + 500) = 12%.Since leverage magnifies return when the borrowing cost is lower than asset returns, the unleveraged asset return must be lower than 15%.
本金是300还是500,我看additional 还以为他自己有500 又另外借了200。但整体思路还是不对,辛苦全部解答一下