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ditto · 2023年11月04日

ABC也有Incentive fee

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%

ABC这个基金从100到140,有40能算Incentive fee。 记得有道例题是FOF结构的底层和上层基金都要计算incentive fee 和 management fee 的, 为什么这题只算了上层的费用, 题目中明明说了费用计算是Independently的呀。

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已采纳答案

pzqa35 · 2023年11月06日

嗨,从没放弃的小努力你好:


这道题虽然投资的是FOF的结构,但是对于被投资的fund alpha和ABC,题目已经给出了计算完费用之后的收益,所以这里只用计算投资的那个总fund的收益水平即可。

总fund的期初投入是200,期末收益是80+140=220.

管理费=220*1%=2.2

绩效费=(220-200)*10%=2

Return=(220-200-2.2-2)/200=7.9%

这里说的independently是说绩效费用在计算的时候不需要在扣除管理费之后。

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2023-07-30 20:04 1 · 回答

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