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summerying · 2023年07月30日

完全没读懂题目

  1. CFA I
  2. Alternative

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%

老师请翻译题目内容。我理解，80和140都是年末&单独&扣除管理费和激励费后的数字，为什么不直接（80+140-200）/200呢？

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1 个答案

Lucky_品职助教 · 2023年07月31日

嗨，从没放弃的小努力你好：


题目中提到的GBP 80 million和GBP 140 million是投资在Alpha Hedge Fund和ABC Hedge Fund的年末价值，但并没有直接扣除管理费和激励费。题目要求计算的是，以基金组合（Fund of Funds）水平评估的净回报率，即扣除了基金组合水平的管理费和激励费后的回报率。

在这个问题中，首先要计算基金组合水平的管理费和激励费，这些费用是针对整个基金组合计算的。然后，在计算投资人的净回报率时，需要考虑这些费用的扣除。

因此，我们需要按照题目中给定的费率结构来计算管理费和激励费。根据题目，管理费率为1%，激励费率为10%。

所以，管理费 = GBP220 million × 1% = GBP2.2 million

激励费 = (GBP220 million - GBP200 million) × 10% = GBP2 million

总费用 = 管理费 + 激励费 = GBP2.2 million + GBP2 million = GBP4.2 million

最后，计算净回报率：(GBP220 million - GBP200 million - GBP4.2 million) / GBP200 million = 7.9%

因此，净回报率为7.9%，选项A是正确答案。

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