题目
Capricorn Fund of Funds invests GBP 100 million in each of Alpha Hedge Fund and ABC Hedge Fund. Capricorn FOF 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, the investment in Alpha is valued at GBP80 million and the investment in ABC is valued at GBP140 million. The annual return to an investor in Capricorn, net of fees assessed at the fund of funds level, is closest to:
选项
A.7.9%.
B.8.0%.
C.8.1%.
答案
A
解析
A is correct. Because the net investor return is 7.9%, calculated as: First, note that “1 and 10” refers to a 1% management fee, and a 10% incentive fee. End of year capital = GBP140 million＋ GBP80 million = GBP220 million． Management fee = GBP220 million × 1% = GBP2.2 million． Incentive fee = (GBP220－GBP200) million × 10% = GBP2 million． Total fees to Capricorn = (GBP2.2 ＋GBP2) million = GBP4.2 million． Investor net return: (GBP220 －GBP200－GBP4.2) / GBP200 = 7.9% ： A是正确的。因为投资者净回报率为7.9%，计算如下： 首先，请注意，“1和10”是指1%的管理费和10%的激励费。 期末账户值= GBP140 million ＋GBP80 million = GBP220 million． 管理费= GBP220 million × 1% = GBP2.2 million． 激励费= (GBP220 － GBP200) million × 10% = GBP2 million． 总费用 = (GBP2.2＋GBP2) million = GBP4.2 million． 投资者净回报率: (GBP220 － GBP200 － GBP4.2) / GBP200 = 7.9%