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三年小马哥 · 2022年12月21日

对于时间线的疑问

  1. CFA III
  2. Alternative

NO.PZ2021060201000026

问题如下：

Johnson is an portfolio manager who discuss with the investment committee (IC) of the EUH University Endowment. He reviewed the future liquidity needs of the endowment fund and analyzes one of its holdings in a private distressed debt fund. He notes the following about the fund:

· As of the end of the most recent year:

· The net asset value of the endowment fund invested in the fund was €30,000,000.

· All capital had been called.

· At the end of the current year, Johnson expects a distribution of 20% to be paid.

· Johnson estimates that the fund’s expected growth rate is 10%..

Calculate the expected NAV of the fund at the end of the next year.

选项：

解释：

The expected NAV of the fund at the end of the next year is €29,040,000, calculated as follows:

First, the expected distribution at the end of the current year is calculated as

Expected distribution = [Prior-year NAV × (1 + Growth rate)] × (Distribution rate).

Expected distribution = [(€30,000,000 × 1.1) × 20%] = €6,600,000.

Therefore, the expected NAV of the fund at the end of the next year is

Expected NAV = [Prior-year NAV × (1 + Growth rate) + Capital contributions – Distributions)] × (1 + Growth rate).

Expected NAV = [(€30,000,000 × 1.1) + 0 − €6,600,000] × 1.1 = €29,040,000.

这个就是要记住公式

Johnson is an portfolio manager who discuss with the investment committee (IC) of the EUH University Endowment. He reviewed the future liquidity needs of the endowment fund and analyzes one of its holdings in a private distressed debt fund. He notes the following about the fund:

· As of the end of the most recent year:

· The net asset value of the endowment fund invested in the fund was €30,000,000.

· All capital had been called.

· At the end of the current year, Johnson expects a distribution of 20% to be paid.

· Johnson estimates that the fund’s expected growth rate is 10%..

Calculate the expected NAV of the fund at the end of the next year.


老师，想请问下，首先假设现在是第t年末，那么

(1)“as of the end of the most recent year, the net asset value of the endowment fund invested in the fund was €30,000,000." 这句的意思是第t-1年年末时NAV为3000万?

(2)问题要求的”Calculate the expected NAV of the fund at the end of the next year.“ 是要求计算第t+1年年末的NAV？


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1 个答案

伯恩_品职助教 · 2022年12月21日

嗨，努力学习的PZer你好：


(1)“as of the end of the most recent year, the net asset value of the endowment fund invested in the fund was €30,000,000." 这句的意思是第t-1年年末时NAV为3000万?——是的

(2)问题要求的”Calculate the expected NAV of the fund at the end of the next year.“ 是要求计算第t+1年年末的NAV？——是的

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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解析错误 这里的下一年NAV计算中，按照公式和讲义上的例题，我理解应该是30 million*1.1*0.8 =26.4million。按照解析的计算结果也应该是26.4million，而不是再乘以1.1.

2024-10-16 10:34 1 · 回答

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2024-10-10 05:46 1 · 回答

答案判断及提示不正确 这个题答案错误，多乘了一个1.1，正确答案应该是26400000

2024-08-24 18:32 1 · 回答

答案判断及提示不正确

2024-08-01 23:35 1 · 回答

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2024-06-21 10:49 1 · 回答