今天給大家?guī)淼氖荂FA一級(jí) 數(shù)量科目的題目的分享，希望給大家的學(xué)習(xí)帶來幫助。

At the beginning of the year, an investor holds EUR10,000 in a hedge fund. The investor borrowed 25 percent of the purchase price, EUR2,500, at an annual interest rate of 6 percent and expects to pay a 30 percent tax on the return she earns from his investment. At the end of the year, the hedge fund reported the information in Exhibit 22:

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The investor’s after-tax return on the hedge fund investment is closest to:

A 3.60 percent

B 3.98 percent

C 5.00 percent

解析：

C is correct. The first step is to compute the investor’s net return from the hedge fund investment. The net return is the fund’s gross return less managerial and administrative expenses of 1.60 percent, or 8.46% – 1.60% = 6.86%. Note that trading expenses are already reflected in the gross return, so they are not subtracted. The second step is to compute the investor’s leveraged return (the investor borrowed EUR2,500 (25 percent) of the purchase), calculated as: follows

image.png

C是正確的。屬于投資者的收益是凈收益，所以題目是讓計(jì)算計(jì)算稅后凈收益。第一步是計(jì)算投資者對(duì)對(duì)沖基金投資的凈回報(bào)（net return），凈回報(bào)是指該基金的總回報(bào)（gross return）減去管理和行政費(fèi)用的1.60%。注意，總回報(bào)已經(jīng)是扣除了交易費(fèi)的值，所以不需要再減去交易費(fèi)。第二步是計(jì)算投資者的杠桿回報(bào)，計(jì)算公式：

image.png

計(jì)算得RL =7.15%。最后是扣除稅費(fèi)，計(jì)算稅后收益，稅后收益 = 7.15% ×(1–0.30) = 5.00%。