Hedge fund X has the following characteristics. It currently manages a portfolio worth $455 mil. The portfolio pays an annual dividend yield equal to 4% and aims to outperform the ASX200 index return, which is expected to be 16% next year. The standard deviation of the funds annual returns is 45%, and the risk-free rate is 1%. The fund has a typical two and twenty fee structure. What is the value of the funds expected incentive fee (in %) for the next year? There is no watermark. All given returns are continuously compounded.

a. 3.64% b. With the current information, it is not possible to calculate the incentive fee c. 3.19% d. 2.44% e. 2.09%