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小乔 · 2022年11月19日

FOF和多策略的费用计算区别

NO.PZ2019122802000018

问题如下:

Sushil Wallace is the chief investment officer of a large pension fund. Wallace wants to increase the pension fund’s allocation to hedge funds and recently met with three hedge fund managers. These hedge funds focus on the following strategies:
Hedge Fund A: Specialist—Follows relative value volatility arbitrage
Hedge Fund B: Multi-Manager—Multi-strategy fund
Hedge Fund C: Multi-Manager—Fund-of-funds

After a significant amount of internal discussion, Wallace concludes that the pension fund should invest in either Hedge Fund B or C for the diversification benefits from the different strategies employed. However, after final due diligence is completed, Wallace recommends investing only in Hedge Fund B, noting its many advantages over Hedge Fund C.

Discuss two advantages of Hedge Fund B relative to Hedge Fund C with respect to investment characteristics.

选项:

解释:

a) Multi-strategy managers like Hedge Fund B can reallocate capital into different strategy areas more quickly and efficiently than would be possible by a fund-of-funds (FoF) manager like Hedge Fund C. The multi-strategy manager has full transparency and a better picture of the interactions of the different teams’ portfolio risks than would ever be possible for FoF managers to achieve. Consequently, the multi-strategy manager can react faster to different real-time market impacts—for example, by rapidly increasing or decreasing leverage within different strategies depending upon the perceived riskiness of available opportunities.

b) The fees paid by investors in a multi-strategy fund can be structured in a number of ways, some of which can be very attractive when compared to the FoFs’ added fee layering and netting risk attributes. Conceptually, FoF investors always face netting risk, whereby they are responsible for paying performance fees due to winning underlying funds while suffering return drag from the performance of losing underlying funds. Even if the FoF’s overall performance is flat or down, FoF investors must still pay incentive fees due to the managers of winning funds.

这块考点是教材的内容,例题也有,需要背诵。

基础班讲义例题 p126关于FOF的费用计算


例如 FOF 收1%管理费,10%绩效费

而底层的A基金 分别2%管理费,20%绩效费

而底层的B基金 分别2%管理费,20%绩效费


那么如果1年后, A基金赚gross return 20%, B基金亏损5%


net of fee return底层的A基金=20-2-3.6=14.4%

net of fee return底层的B基金=-5-2=-7%


gross retrun of FOF=14.4%*0.5-7%*0.5=3.7%

net return of FOF=3.7-1-0.27=2.43%



问题1. 如果 同样是多策略的话,该怎么计算net return呢?


问题2.FOF is subject to netting risk, 和 inability to net performance fees 是同一个概念吗?

FOF is tow layer of fees 和inability to net performance fees 是同一个概念吗?


如果描述FOF的1个缺点,以上只是1个点而已吗?



问题3.多策略 是absorb netting risk 对吗? 这个这怎么理解 吸收了 netting risk,





4 个答案
已采纳答案

伯恩_品职助教 · 2022年11月19日

嗨,努力学习的PZer你好:


问题1. 如果 同样是多策略的话,该怎么计算net return呢?——例如 FOF 收1%管理费,10%绩效费

而底层的A基金 分别2%管理费,

而底层的B基金 分别2%管理费,


那么如果1年后, A基金赚gross return 20%, B基金亏损5%

然后是所以A是20%-2%=18%,B是-5%-2%=-7%

18%×0.5-7%×0.5=5.5%,

5.5%-1%-0.45%=4.05%


问题2.FOF is subject to netting risk, 和 inability to net performance fees 是同一个概念吗?——是

FOF is tow layer of fees 和inability to net performance fees 是同一个概念吗?——在这里是的


如果描述FOF的1个缺点,以上只是1个点而已吗?——一共是这些



问题3.多策略 是absorb netting risk 对吗? 这个这怎么理解 吸收了 netting risk,——就是旗下 基金A盈利和基金B亏损,FOF就单独核算了,多策略就把A的盈利和B亏损合并计算performance了

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努力的时光都是限量版,加油!

伯恩_品职助教 · 2022年11月21日

嗨,爱思考的PZer你好:


而底层的A基金 分别2%管理费,B基金 分别2%管理费 对于多策略来说, 底层子策略 就只收 管理费,不收底层A基金,B基金的绩效费吗? 就是这个区别吗?——多策略的是放在母基金里进行绩效分配的,子基金没有绩效分配。其它的一样

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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!

伯恩_品职助教 · 2022年11月20日

嗨,爱思考的PZer你好:


好意思,我忘记问 问题1了。 (举例了FOF的费用计算) 如果 同样是 多策略的话,该怎么计算net return呢?——我回答了啊

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

伯恩_品职助教 · 2022年11月20日

嗨,爱思考的PZer你好:


建议这样写,这个是参考原版书的例题( 参考例题Fund-of-Funds or Multi-Strategy Funds—Which to Choose?)精简出的答案

----------------------------------------------
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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