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欧阳美蛋 · 2024年02月01日

母基金和子基金不用分开算？

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NO.PZ2021103102000049

问题如下：

Capricorn Fund of Funds invests GBP150 million in each of Alpha Hedge Fund and ABC Hedge Fund. Capricorn Fund of Funds 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, Capricorn’s investment in Alpha is valued at GBP 80 million and Capricorn’s investment in ABC is valued at GBP240 million. The annual return to an investor in Capricorn Fund of Funds, net of fees assessed at the fund-of-funds level, is closest to:

选项：

A.4.93% B.4.33% C.4.48%

解释：

投资者的净回报率为4.93%，计算如下：

首先要注意，“1和10”是指1%的管理费和10%的奖励费。

年终资产价值 = GBP240 m + GBP80 m = GBP320 m

管理费 = GBP320 m × 1% = GBP3.2 m

奖励费 = (GBP320 m – GBP300 m) × 10% = GBP2 m

总费用 = (GBP3.2 m + GBP2 m) = GBP5.2 m

投资者净回报：(GBP320 m – GBP300 m – GBP5.2 m )/ GBP300 m = 4.93%。

这种FoF，老师可不是这么讲的，先扣掉子基金的管理费和激励费，才能知道母基金收益多少，再扣母基金管理费和激励费。这答案也太简化了吧？

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1 个答案

pzqa35 · 2024年02月02日

嗨，爱思考的PZer你好：


这道题目中，已经给定了我们的值是扣掉了子基金管理费和绩效奖后的值，“net of their respective management and incentive fees”也就是说320m就是母基金年终拿到的值，这个题省略了计算子基金那个步骤，是题目中直接告诉我们扣完费后的值了，所以只需要计算母基金的费用即可。

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