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一只可爱的猪 · 2020年03月03日

问一道题：NO.PZ2016031203000013

  1. CFA I
  2. Alternative

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%

如果投资失败，原本100 现在变80，那还要付intencive fee吗


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2 个答案

xiaowan_品职助教 · 2020年03月05日

同学你好，因为针对这道题来说， Capricorn 是一个FoF，是一个母基金，它的收益来自于下属子基金的加总。所以对于Capricorn来说，要根据加总后收益增值的部分来算绩效奖。

对于其下属的子基金来说，也都是有不同的基金管理人，通常会有单独的业绩评判和绩效奖励标准。

但是就这道题的问题来说，没有说子基金的情况，问的是Capricorn这个母基金的投资人将会得到多少收益，所以计算绩效奖的部分要按照投资总体收益来算哈。

xiaowan_品职助教 · 2020年03月03日

嗨，从没放弃的小努力你好：


同学你好，如果投资失败，是没有绩效奖的。


-------------------------------
努力的时光都是限量版，加油！


一只可爱的猪 · 2020年03月05日

那这里为什么不能分开算，80的部分不算绩效奖，140超出100的部分算绩效奖？

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