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huangme7 · 2024年04月18日

No.PZ202401170100001105

  1. CFA II
  2. Alternative

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%).

Net of Fees Return for PF Investor = (20% – 2% – 3.6%) = 14.4%;


3.6% 是哪里来的？


 0.27% = 10% x (3.7% – 1%). 这一步也没懂

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1 个答案

pzqa35 · 2024年04月18日

嗨，从没放弃的小努力你好：


这个题目本身没有非常严谨，没有告诉我们这个绩效奖是net of fee的，考试中一般都会有明说是独立征收还是扣掉管理费（net of fee）来征收的哈。

对于PF而言，它的return是20%，管理费是2%，那么绩效奖=（20%-2%）*20%=3.6%

那么最终我们根据加权平均得到了SVFOF的return是3.7%，此时它的管理费是1%，绩效奖是10%来征收，那么绩效奖=（3.7%-1%）*10%=0.27%。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2024020101000022 问题如下 SquValley Funof Fun (SVFOF) charges a 1% management fee an10% incentive fee aninvests equamount of its assets into two invihee fun: Pyrenees Fun(PF) anUrFun(UF), eacharging a 2% management fee ana 20% incentive fee. For simplicity in answering the following questions, please ignore fee compounng anassume thall fees are paiyear-enIf PF’s manager earns a gross return of 20% but UF’s manager loses 5%, whis the net-of-fee return for investor in SVFOF? A.14.40% B.3.70% C.2.43% Net of Fees Returnfor PF Investor = (20% – 2% – 3.6%) = 14.4%;Net of Fees Returnfor UF Investor = (–5% – 2% – 0%) = –7.0%;Gross Return forSVFOF Investor = (0.5 x 14.4% + 0.5 x – 7.0%) = 3.7%;Net of Fees Returnfor SVFOF Investor = (3.7% – 1% – 0.27%) = 2.43%, where 0.27% = 10% x (3.7% –1%). rt

2024-02-19 19:35 2 · 回答