"Alternative Investments":Convenience yield

來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2020/11/05 10:03:28　字體：大小

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Questions 1:

Commodity futures prices are most likely in backwardation when:

A、 interest rates are high.

B 、storage costs are high.

C、 the convenience yield is high.

Questions 2:

Assume management fees are calculated using end-of-period valuation. The investor’s net return given this fee structure is closest to:

A 、10.88%.

B 、9.79%.

C、 9.68%.

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. In backwardation, futures prices are lower than spot prices, that is, the commodity forward curve is downward sloping. This scenario occurs when the convenience yield is high. Futures price ≈ Spot price (1 + r) + Storage costs – Convenience yield.

A is incorrect. Futures price ≈ Spot price (1 + r) + Storage costs – Convenience yield. Thus, high interest rates contribute to an upward sloping commodity forward curve.

B is incorrect. Futures price ≈ Spot price (1 + r) + Storage costs – Convenience yield. Thus, high storage costs contribute to an upward sloping commodity forward curve.

【Answer to question 2】B

【analysis】

B is correct. Management fee: 1% of $112 million = $1.12 million

Incentive fee: 10% of ($12 million – $ 1.12 million) = $1.088 million

Fund value after fees: $112 million – $1.12 million – $1.088 million = $109.792 million

Investor return: ($109.792 million/$100 million) – 1 = 9.79%

C is incorrect. It ignores the fact that the incentive fee is calculated net of management fees.

Management fee: 1% of $112 million = $1.12 million.

Incentive fee: 10% of $12 million = $1.2 million.

Fund value after fees: $112 million – $1.12 million – $1.2 million = $109.68 million

Investor return: ($109.68 million / $100 million) - 1 = 9.68%

B is incorrect. It neglects the incentive fee.