1. The $250M Arroyo Fund has completed its ten-year life. Its annual performance details are described in "Ql" tab of hw2.xls. a. Compute the value multiple, realized value multiple, unrealized value multiple, and IRR for Arroyo after every year of its life. b. At the end of Arroyo Fund's life, what is its final GVM and GP%? Show your calculations. 4 10 6 0.0 8 0.0 9 0.0 3 50.0 185.2 0.0 year Investments portfolio value total returned capital returned capital to LPS cumulative retumed capital to LP: carried interest port value after capital returned Management fee 1 50.0 50.0 0.0 0.0 0.0 0.0 50.0 5.0 2 50.0 109.0 0.0 0.0 0.0 0.0 109.0 5.0 0.0 30.0 259.6 0.0 0.0 0.0 0.0 259.6 5.0 5 20.0 341.9 51.3 51.3 51.3 0.0 290.6 5.0 7 0.0 292.9 29.3 29.3 185.2 0.0 263.6 5.0 348.7 104.6 104.6 155.9 0.0 244.1 5.0 0.0 0.0 185.2 5.0 316.4 94.9 88.9 274.1 6.0 221.5 5.0 0.0 104.6 104.6 83.7 450.8 20.9 0.0 5.0 232.5 116.3 93.0 367.1 23.3 116.3 5.0 Month January February March April May June July August September October November December Ri 1.62% 1.24% 0.56% -1.25% -1.94% 1.83% -2.69% 0.72% -1.75% 2.11% 3.61% 2.83% Rm 2.04% 1.39% 0.96% -1.50% -2.15% 1.58% -2.87% 0.26% -2.95% 1.73% 4.23% 3.16% RE 0.08% 0.07% 0.07% 0.08% 0.06% 0.08% 0.09% 0.10% 0.11% 0.12% 0.14% 0.15% 10% 15% Expected Return Company A Company B Covariance matrix A B B 0.0144 0.0066 0.0066 0.0484 1. The $250M Arroyo Fund has completed its ten-year life. Its annual performance details are described in "Ql" tab of hw2.xls. a. Compute the value multiple, realized value multiple, unrealized value multiple, and IRR for Arroyo after every year of its life. b. At the end of Arroyo Fund's life, what is its final GVM and GP%? Show your calculations. 4 10 6 0.0 8 0.0 9 0.0 3 50.0 185.2 0.0 year Investments portfolio value total returned capital returned capital to LPS cumulative retumed capital to LP: carried interest port value after capital returned Management fee 1 50.0 50.0 0.0 0.0 0.0 0.0 50.0 5.0 2 50.0 109.0 0.0 0.0 0.0 0.0 109.0 5.0 0.0 30.0 259.6 0.0 0.0 0.0 0.0 259.6 5.0 5 20.0 341.9 51.3 51.3 51.3 0.0 290.6 5.0 7 0.0 292.9 29.3 29.3 185.2 0.0 263.6 5.0 348.7 104.6 104.6 155.9 0.0 244.1 5.0 0.0 0.0 185.2 5.0 316.4 94.9 88.9 274.1 6.0 221.5 5.0 0.0 104.6 104.6 83.7 450.8 20.9 0.0 5.0 232.5 116.3 93.0 367.1 23.3 116.3 5.0 Month January February March April May June July August September October November December Ri 1.62% 1.24% 0.56% -1.25% -1.94% 1.83% -2.69% 0.72% -1.75% 2.11% 3.61% 2.83% Rm 2.04% 1.39% 0.96% -1.50% -2.15% 1.58% -2.87% 0.26% -2.95% 1.73% 4.23% 3.16% RE 0.08% 0.07% 0.07% 0.08% 0.06% 0.08% 0.09% 0.10% 0.11% 0.12% 0.14% 0.15% 10% 15% Expected Return Company A Company B Covariance matrix A B B 0.0144 0.0066 0.0066 0.0484
