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AgnesWu · 2024年03月24日

关于题目的理解

  1. CFA I
  2. Alternative

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%.

“”current-year return of the fund is 15%.“为什么理解为re？

这道题我以为是总共A——500，D——200，rd=4.5%，E——500-200=300

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pzqa35 · 2024年03月25日

嗨，努力学习的PZer你好：


首先，题目中有表述说“current-year return of the fund”，这个就是说这个fund的收益情况，也就是说是站在equity的角度去看的，也就是RE。其次题目问的是“What would have been the return if the fund had not added any leverage”不考虑杠杆带来的影响，这个就是站在总资产的角度，所以就是RA，从这两个角度都可以进行相应的区分哈。

题目中说net capital 是GBP500，borrowed an additional GBP200 million，也就是说这个fund本身自有资金是500，再借了200，所以总资产是有700.这个net capital是净资产的意思哈。

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