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一只可爱的猪 · 2020年10月06日

问一道题:NO.PZ2018053101000018 [ CFA I ]

问题如下:

Ash Lawn Partners, a fund of hedge funds, has the following fee structure:

 2/20 underlying fund fees with incentive fees calculated independently

 Ash Lawn fees are calculated net of all underlying fund fees

 1% management fee (based on year-end market value)

 10% incentive fee calculated net of management fee

 The fund and all underlying funds have no hurdle rate or high-water mark fee conditions

In the latest year, Ash Lawn’s fund value increased from $100 million to $133 million before deduction of management and incentive fees of the fund or underlying funds. Based on the information provided, the total fee earned by all funds in the aggregate is closest to:

选项:

A.

$11.85 million.

B.

$12.75 million.

C.

$12.87 million.

解释:

B is correct.

Total fees paid to all funds (underlying funds and Ash Lawn) are $12.75 million, consisting of underlying fund fees of $9.26 million and Ash Lawn fees of $3.49 million, calculated as follows:

Underlying fund fees:

Management fee = $133 million × 0.02 = $2.66 million.

Incentive fee = ($133  $100) million × 0.20 = $6.60 million.

Total underlying fund fees ($2.66 + $6.60) million = $9.26 million.

Ash Lawn fees:

AUM at end of year, net of underlying fund fees = $133 million  $9.26 million = $123.74 million.

Ash Lawn management fee = $123.74 million × 0.01 = $1.24 million (rounded).

AUM net of underlying fund fees and Ash Lawn management fee = ($123.74  $1.24) million = $122.50 million(rounded).

Ash Lawn incentive fee = ($122.50  $100) million × 0.10 = $2.25 million (rounded).

Total Ash Lawn fees = ($1.24 + $2.25) million = $3.49 million (rounded).

Total fees of underlying funds and Ash Lawn:

($9.26 + $3.49) million = $12.75 million (rounded).

计算FoF总费用就要分别计算两层基金的费用:

底层基金管理费=年底AUM*对应管理费率=$133 million × 0.02 = $2.66 million

绩效奖是单独计算的,因此直接在年底AUM基础上计算绩效奖=($133  $100) million × 0.20 = $6.60 million

所以底层总的费用=($2.66 + $6.60) million = $9.26 million。

对于母基金来说,扣除完底层总费用后的年底AUM净值=$133 million  $9.26 million = $123.74 million

所以母基金管理费=$123.74 million × 0.01 = $1.24 million

母基金的绩效奖是按扣除完管理费净额计算=($123.74 $1.24 - $100) *0.1=2.25million

所以母基金总费用=($1.24 + $2.25) million = $3.49 million

所以两层基金的总费用=($9.26 + $3.49) million = $12.75 million

133是母基金获得的?还是底层基金?
1 个答案

韩韩_品职助教 · 2020年10月07日

嗨,努力学习的PZer你好:


同学你好,133是子基金也就是Underlying fund的年末值。


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


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NO.PZ2018053101000018 Unrlying funfees: Management fee = $133 million × 0.02 = $2.66 million. Incentive fee = ($133 – $100) million × 0.20 = $6.60 million. 问题1这一步为什么不扣除管理费? Ash Lawn fees: AUM enof year, net of unrlying funfees = $133 million – $9.26 million = $123.74 million. Ash Lawn management fee = $123.74 million × 0.01 = $1.24 million (roun. AUM net of unrlying funfees anAsh Lawn management fee = ($123.74 – $1.24) million = $122.50 million(roun. Ash Lawn incentive fee = ($122.50 – $100) million × 0.10 = $2.25 million (roun. 问题2:为什么这个incentivefee里是扣除了管理费的?

2021-11-14 13:00 1 · 回答

老师您好,为什么是incentive fee是($133 –  $100) million × 0.20 = $6.60 million,题目不是说要net of management fee么?为什么没有扣除management fee 部分呢?

2020-11-18 14:39 1 · 回答

• 1% management fee (baseon year-enmarket value) 题目中的这个条件,说是母基金的management fee baseon year-enmarket value,扣除了unrlying funfees之后也是market value吗? 虽然知道母基金的fee要扣除子基金fee之后计算,这里又看到market value还以为直接用133计算

2020-09-26 22:03 1 · 回答

$12.75 million. $12.87 million. B is correct. Totfees paito all fun (unrlying fun anAsh Lawn) are $12.75 million, consisting of unrlying funfees of $9.26 million anAsh Lawn fees of $3.49 million, calculatefollows: Unrlying funfees: Management fee = $133 million × 0.02 = $2.66 million. Incentive fee = ($133 – $100) million × 0.20 = $6.60 million. Totunrlying funfees ($2.66 + $6.60) million = $9.26 million. Ash Lawn fees: AUM enof year, net of unrlying funfees = $133 million – $9.26 million = $123.74 million. Ash Lawn management fee = $123.74 million × 0.01 = $1.24 million (roun. AUM net of unrlying funfees anAsh Lawn management fee = ($123.74 – $1.24) million = $122.50 million(roun. Ash Lawn incentive fee = ($122.50 – $100) million × 0.10 = $2.25 million (roun. TotAsh Lawn fees = ($1.24 + $2.25) million = $3.49 million (roun. Totfees of unrlying fun anAsh Lawn: ($9.26 + $3.49) million = $12.75 million (roun. 计算FoF总费用就要分别计算两层基金的费用 底层基金管理费=年底AUM*对应管理费率=$133 million × 0.02 = $2.66 million 绩效奖是单独计算的,因此直接在年底AUM基础上计算绩效奖=($133 –  $100) million × 0.20 = $6.60 million 所以底层总的费用=($2.66 + $6.60) million = $9.26 million。 对于母基金来说,扣除完底层总费用后的年底AUM净值=$133 million –  $9.26 million = $123.74 million 所以母基金管理费=$123.74 million × 0.01 = $1.24 million 母基金的绩效奖是按扣除完管理费净额计算=($123.74 – $1.24 - $100) *0.1=2.25million 所以母基金总费用=($1.24 + $2.25) million = $3.49 million 所以两层基金的总费用=($9.26 + $3.49) million = $12.75 million 怎么看出母基金的管理费是2%?

2020-09-02 12:20 1 · 回答