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稳如泰山 · 2022年04月19日

不用net of fees吗

  1. CFA I
  2. Alternative

NO.PZ2021103102000049

问题如下：

Capricorn Fund of Funds invests GBP150 million in each of Alpha Hedge Fund and ABC Hedge Fund. Capricorn Fund of Funds 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, Capricorn’s investment in Alpha is valued at GBP 80 million and Capricorn’s investment in ABC is valued at GBP240 million. The annual return to an investor in Capricorn Fund of Funds, net of fees assessed at the fund-of-funds level, is closest to:

选项：

A.4.93% B.4.33% C.4.48%

解释：

投资者的净回报率为4.93%，计算如下：

首先要注意，“1和10”是指1%的管理费和10%的奖励费。

年终资产价值 = GBP240 m + GBP80 m = GBP320 m

管理费 = GBP320 m × 1% = GBP3.2 m

奖励费 = (GBP320 m – GBP300 m) × 10% = GBP2 m

总费用 = (GBP3.2 m + GBP2 m) = GBP5.2 m

投资者净回报：(GBP320 m – GBP300 m – GBP5.2 m )/ GBP300 m = 4.93%。

老师，这题不用net of fee吗

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Lucky_品职助教 · 2022年04月20日

嗨，努力学习的PZer你好：


Management fees and incentive fees are calculated independently at the end of each year. 因此两费是单独计算的。

最终问net of fee占比，我们减去了GBP5.2 m，就是扣掉费用~

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