You own a market neutral hedge fund with an annual fee of 2% and a performance fee of 20%. The 20% performance fee basically means that if the fund beats its benchmark, a flat 1% monthly hurdle rate, on a gross return basis, 20% of the outperformance is paid to the fund manager. The gross return on the hedge fund for the immediate past three months was 4%,2%, and 12%. Calculate the cumulative gross return over the last three months. Also, calculate the cumulative net return over the last three months (i.e., the fund's return net of all fees). (Hint: An annual fee of 2% translates to about a 16.5 bp monthly fee.)