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惨绿少年 · 2024年10月24日

为什么这里的equity value是7500而不是10000啊

  1. CFA I
  2. Quantitative

NO.PZ2023052302000013

问题如下：

At the beginning of the year, an investor holds EUR10,000 in a hedge fund. The investor borrowed 25 percent of the purchase price, EUR2,500, at an annual interest rate of 6 percent and expects to pay a 30 percent tax on the return she earns from his investment. At the end of the year, the hedge fund reported the information in Exhibit 22:


The investor’s after-tax return on the hedge fund investment is closest to:

选项：

A.

3.60 percent.

B.

3.98 percent

C.

5.00 percent

解释：

C is correct. The first step is to compute the investor’s net return from the hedge fund investment. The net return is the fund’s gross return less managerial and administrative expenses of 1.60 percent, or 8.46% – 1.60% = 6.86%. Note that trading expenses are already reflected in the gross return, so they are not subtracted.

The second step is to compute the investor’s leveraged return (the investor borrowed EUR2,500 (25 percent) of the purchase), calculated as: follows


The final step is to compute the after-tax return:

After-tax return = 7.15% (1 – 0.30) = 5.00%

No.PZ2023052302000013 (选择题)

来源: 原版书

At the beginning of the year, an investor holds EUR10,000 in a hedge fund. The investor borrowed 25 percent of the purchase price, EUR2,500, at an annual interest rate of 6 percent and expects to pay a 30 percent tax on the return she earns from his investment. At the end of the year, the hedge fund reported the information in Exhibit 22:



The investor’s after-tax return on the hedge fund investment is closest to




C is correct. The first step is to compute the investor’s net return from the hedge fund investment. The net return is the fund’s gross return less managerial and administrative expenses of 1.60 percent, or 8.46% – 1.60% = 6.86%. Note that trading expenses are already reflected in the gross return, so they are not subtracted.

The second step is to compute the investor’s leveraged return (the investor borrowed EUR2,500 (25 percent) of the purchase), calculated as: follows



The final step is to compute the after-tax return:

After-tax return = 7.15% (1 – 0.30) = 5.00%

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1 个答案

品职助教_七七 · 2024年10月24日

嗨，努力学习的PZer你好：


Equity value是自有资金的意思。

本题中，EUR10,000是投资的总金额，这其中的25%是借来的（“The investor borrowed 25 percent of the purchase price, EUR2,500....”），所以自有资金就只有总金额的75%，也就是75,000。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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