喬同學
2017-05-08 00:13A hedge fund with $98 million of initial capital charges a management fee of 2% and an incentive fee of 20%. The management fee is based on assets under management at year end and the incentive fee is calculated independently from the management fee. The fee structure has a high water mark provision. The fund value is $112 million at the end of Year 1, $100 million at the end of Year 2 and $116 million at the end of Year 3. The net-of-fees return earned by the fund in Year 3 is closest to: [A]14.15%. [B}11.87%. [C]12.33%. 解釋 12.33% results from calculating the incentive fee using the net capital position at the end of Year 2 instead of the high water mark value established at the end of Year 1. Management fee = Year-end value × Management fee % = $116 million × 2% = $2.32 million Incentive fee = (Year-end value – Year 2 Ending capital position) × Incentive fee % = ($116 million – $98 million) × 20% = $3.60 million. Total fees = Management fee + Incentive fee = $2.32 million + $3.60 million = $5.92 million Net-of-fees return: = (Year-end value – Total fees – Beginning capital position)/Beginning capital position = ($116 million – $5.92 million – $98 million)/$98 millio
所屬： 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
大鬼班主任
2017-05-08 09:16
該回答已被題主采納
同學你好，請闡述一下你的問題是什么？
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追問
A hedge fund with $98 million of initial capital charges a management fee of 2% and an incentive fee of 20%. The management fee is based on assets under management at year end and the incentive fee is calculated independently from the management fee. The fee structure has a high water mark provision. The fund value is $112 million at the end of Year 1, $100 million at the end of Year 2 and $116 million at the end of Year 3. The net-of-fees return earned by the fund in Year 3 is closest to:
這個就是問題啊 -
追答
同學你好，這題要求計算 Year 3的net-of-fees return。思路如下：
year 2年末fund剩下100 million，management fee是2%所以Year 2扣除掉management fee剩下凈資產(chǎn)98 million。
Year 3開始運作這98 million，年末為116 million，還有題目中給出信息incentive fee calculated independently from management fees，同時，這里雖然說是high water mark provision，但是沒有說第一年年末獲得了incentive fee所以我們可以計算Year 3的incentive fees：（116-98）*20%=3.6。management fee是：116*2%=2.32.那么最后第三年的net of fees return就是 （116-2.32-3.6）/98-1=12.3265%
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