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王二狗 · 2022年01月11日

330*8%不应该是26.4么? 怎么是24呢?是我计算器按错了吗?

NO.PZ2021103102000048

问题如下:

United Capital is a hedge fund with $300 million of initial capital. United charges a 1% management fee based on assets under management at year end and a 20% incentive fee based on returns in excess of an 8% hurdle rate. In its first year, United appreciates 10%. Assume management fees are calculated using end-of-period valuation. The investor’s net return assuming the performance fee is calculated net of the management fee is closest to:

选项:

A.

9.98%

B.8.72% C.8.88%

解释:

投资者的净回报率为8.72%,计算如下:

年终资产价值 = $300 m × 1.10 = $330 m

管理费 = $330 m × 1% = $3.3 m

门槛收益 = $330 m × 8% = $24 m

奖励费 = ($330 m − $300 m − $24 m − $3.3 m) × 20% = $0.54 m

总管理资产的费用 = ($3.3 m + $0.54 m) = $3.84 m

投资者净回报率:($330 − $300 − $3.84)/$ 300 = 8.72%

330*8%不应该是26.4么? 怎么是24呢?是我计算器按错了吗?

1 个答案

lynn_品职助教 · 2022年01月11日

嗨,努力学习的PZer你好:


题目有问题,我们后台改下,门槛收益 = $300 m × 8% = $24 m 。收益率的门槛应该是期初AUM * hurdle rate噢

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NO.PZ2021103102000048 问题如下 UniteCapitis a hee funwith $300 million ofiniticapital. Unitecharges a 1% management fee baseon assets unrmanagement yeenana 20% incentive fee baseon returns in excess of an8% hure rate. In its first year, Uniteappreciates 10%. Assume managementfees are calculateusing enof-periovaluation. The investor’s net returnassuming the performanfee is calculatenet of the management fee is closestto: A.9.98% B.8.72% C.8.88% 投资者的净回报率为8.72%,计算如下年终资产价值 = $300 m × 1.10 = $330 m管理费 = $330 m × 1% = $3.3m门槛收益 = $300 m × 8% = $24 m奖励费 = ($330 m − $300 m − $24 m − $3.3 m) × 20% = $0.54 m总管理资产的费用 = ($3.3 m + $0.54 m) = $3.84 m 投资者净回报率($330 − $300 − $3.84)/$ 300 = 8.72% 请问($330 m − $300 m − $24 m − $3.3 m) × 20% = $0.54 m这一步减去的3.3就是题目里说的net of manage fee的意思吗?如果不说这句话是不是就不用减去这个管理费了

2023-08-14 04:36 1 · 回答

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2023-04-23 21:52 1 · 回答

NO.PZ2021103102000048 这个题目问的不是刨除管理费后的收益么?也没说刨除激励费用啊。

2022-01-16 22:37 1 · 回答