NO.PZ2016031203000013
问题如下：
Capricorn Fund of Funds invests GBP 100 million in each of Alpha Hedge Fund and ABC Hedge Fund. Capricorn FOF has a "1 and 10" fee structure. Management fees and incentive fees are calculated independently at the end of each year. After one year, net of their respective management and incentive fees, the investment in Alpha is valued atGBP80 million and the investment in ABC is valued at GBP140 million. The annual return to an investor in Capricorn, net of fees assessed at the fund of funds level, is closest to:
选项：
A.7.9%.
B.8.0%.
C.8.1%.
解释：
A is correct.
because the net investor return is 7.9%, calculated as:
First, note that "1 and 10" refers to a 1% management fee, and a 10% incentive fee.
End of year capital = GBP140 million + GBP80 million = GBP220 million
Management fee = GBP220 million × 1% = GBP2.2 million
Incentive fee = (GBP220 − GBP200) million × 10% = GBP2 million
Total fees to Capricorn = (GBP2.2 + GBP2) million = GBP4.2 million
Investor net return: (GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%
FOF年底的AUM=GBP140 million + GBP80 million = GBP220 million
所以管理费=GBP220 million × 1% = GBP2.2 million
本题绩效奖和管理费是单独计算
因此，绩效奖=(GBP220 − GBP200) million × 10% = GBP2 million
所以总费用=(GBP2.2 + GBP2) million = GBP4.2 million
所以净收益=(GBP220 − GBP200 − GBP4.2) / GBP200 = 7.9%
图片是上课讲的FOF的例子。在算母基金时，期末收益是240-(2+4)*2，抛去了子基金的绩效奖和管理费。所以本题在算母基金年末收益的时候，为什么直接80+140=220，而不是（80+140）- (1.6+2.8+8) 呢？
