NO.PZ2022100301000004
问题如下：
No deposits to the fund or withdrawals from the fund occurred during the year. Management fees are calculated using end-of-period valuation. Management fees and incentive fees are calculated independently. The net-of-fees return of the investor is closest to:选项：
A.7.8%. B.7.4%. C.5.8%.解释：
Solution
C is correct. The soft hurdle rate is surpassed because the return of the fund is 10%. For that reason, the full fee, based on the full performance, is due.
Management fee: 2% of $110 million = $2.2 million
Incentive fee: 20% of $10 million = $2 million
Total fees: $4.2 million
Therefore, the fund assets at the end of the period after fees are $105.8 million. The return for the investor is 5.8%.
A is incorrect. It completely neglects the incentive fee. This is only appropriate if the hurdle rate is not cleared. Management fee: 2% of $110 million = $2.2 million. Therefore, the fund assets at the end of the period after fees are $107.8 million. The return for the investor is 7.8%.
B is incorrect. It reduces the base of the incentive fee by the hurdle rate. This is only correct in the case of a hard hurdle rate, but not in the case of a soft hurdle rate. Management fee: 2% of $110 million = $2.2 million.
Incorrect subtraction of $8 million (because of the hurdle rate) from the performance of $10 million leaves $2 million.
Incentive fee 20% of $2 million = $0.4 million
Total fees: $2.6 million
Therefore, the fund assets at the end of the period after fees are $107.4 million. The return for the investor is 7.4%.
本题考查对冲基金的费用计算。
该基金的回报率为10%，超过了软门槛，因此应根据总收益率支付费用。
管理费：1.1亿美元的2%=220万美元
激励费：1000万美元的20%=200万美元
总费用：420万美元
本期期末基金资产扣除费用后为1.058亿美元。投资者的回报率为5.8%。
A不正确。它完全忽略了激励费用。
B不正确。它通过hurdle rate降低了激励费用的基数。这仅在hard hurdle rate的情况下正确，本题是soft hurdle rate。
RT
