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"Alternative Investments":Convenience yield
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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.
Management fee: 1% of $112 million = $1.12 million
und value after fees: $112 million – $1.12 million = $110.88 million
Investor return: ($110.88 million/$100 million) – 1 = 10.88%
Introduction to Alternative Investments
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