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src · 2021年05月24日

No.PZ2021052007000008 (问答题)

Squaw Valley Fund of Funds (SVFOF) charges a 1% management fee and 10% incentive fee and invests an equal amount of its assets into two individual hedge funds: Pyrenees Fund (PF) and Ural Fund (UF), each charging a 2% management fee and a 20% incentive fee. For simplicity in answering the following questions, please ignore fee compounding and assume that all fees are paid at year-end.

1 If the managers of both PF and UF generate 20% gross annual returns, what is the net-of-fee return for an investor in SVFOF?

2 If PF’s manager earns a gross return of 20% but UF’s manager loses 5%, what is the net-of-fee return for an investor in SVFOF?


这道题答案有点过于简单看不懂。



Incentive fees are deducted only from gross gains net of management fees and expenses. Thus, the answer becomes:

Net of Fees Return for PF and UF Investor = (20% – 2% – 3.6%) = 14.4%, where 3.6% = 20% x (20% – 2%);

Net of Fees Return for SVFOF Investor = (14.4% – 1% – 1.34%) = 12.06%, where 1.34% = 10% x (14.4% – 1%).

Solution to 2:

Net of Fees Return for PF Investor = (20% – 2% – 3.6%) = 14.4%;

Net of Fees Return for UF Investor = (–5% – 2% – 0%) = –7.0%;

Gross Return for SVFOF Investor = (0.5 x 14.4% + 0.5 x – 7.0%) = 3.7%;

Net of Fees Return for SVFOF Investor = (3.7% – 1% – 0.27%) = 2.43%, where 0.27% = 10% x (3.7%– 1%).

alternative——Hedge Fund Strategies——Multi-Manager Strategies

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伯恩_品职助教 · 2021年05月25日

嗨,努力学习的PZer你好:


同学你好,先来解释第一问,我们是要求FOF净费率之后的收益,因为FOF涉及双重收费,所以这里要减去两道费用,第一道是UF和PF的,因为他们的管理费是2%,业绩提成是20%,先算业绩分成(这块是要扣除管理费)所以是20% x (20% – 2%)=3.6%,然后用收益再减去管理费和业绩分成:20%-2%-3.6%=14.4%,于是就是下面这个式子。

Net of Fees Return for PF and UF Investor = (20% – 2% – 3.6%) = 14.4%, where 3.6% = 20% x (20% – 2%);

同理现在再求SVFOF的扣除费率后的收益,先扣除FOF的管理费10%,10% x (14.4% – 1%)=1.34%,然后再减去管理费和业绩分成 (14.4% – 1% – 1.34%) = 12.06%

第二问现在UF亏损了,但是管理费还得交,算下他亏损多少钱,就是亏损的加上管理费 (–5% – 2% – 0%) = –7.0%;(0%是业绩分成,亏损的没有就是0).PF还是20%的收益,那就和第一问结果一致。20%-2%-3.6%=14.4%。然后FOF要把这两个基金的收益混在一起给客户看收益,结果就是 (0.5 x 14.4% + 0.5 x – 7.0%) = 3.7%;(因为各站一半,所以要乘50%)。

然后同第一问求SVFOF的方法,先算业绩分成费, 10% x (3.7%– 1%).=0.27%。然后用收益减去管理费和业绩分成:(3.7% – 1% – 0.27%) = 2.43%

这样明白了吗?

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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