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四喜丸子 · 2023年08月13日

老师您好,如果这道题的Management fees 和 incentive fees 是净额结算,是选A选项吗?

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:

Initial fund assets: $100M

Fund assets at the end of the period (before fees): $110M

Management fee based on assets under management: 2%

Incentive fee based on the return: 20%

Soft hurdle rate: 8%

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

老师您好,如果这道题的Management fees 和 incentive fees 是净额结算,是选A选项吗?

1 个答案

Lucky_品职助教 · 2023年08月15日

嗨,爱思考的PZer你好:


如果这道题中的管理费和激励费是基于净额结算的,那么答案将变为选项A,即7.8%。在净额结算的情况下,管理费和激励费是根据净回报计算的,而不是基于资产总额。因此,管理费是10%回报的2%,即$1百万。激励费是10%回报的20%,即$2百万。总费用为$3百万。扣除这些费用后,基金期末资产为$107百万。投资者的净回报率为(107-100)/ 100 = 7.8%。

所以,在净额结算的情况下,答案是选项A,即7.8%。

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2022-12-24 15:07 1 · 回答