NO.PZ2021103102000051
问题如下：
A hedge fund has the following fee structure:
- Annual management fee based on year-end AUM：2%
- Incentive fee：20%
- Hurdle rate before incentive fee collection starts：4%
- Current high-water mark：$610 million
The fund has a value of $580 million at the beginning of the year. After one year, it has a value of $650 million before fees. The net percentage return to an investor for this year is closest to:
选项：
A. 8.45%
B. 9.29%
C. 9.74%
解释：
管理费 = $650 × 2% = $13 m
由于该基金$650 m的期末总价值超过了$610 m的高水位线，基金管理人可以对高于该高水位线但扣除门槛回报率的收益部分，计算奖励费。奖励费计算如下:
{$650 − [$610 × (1 + 0.04)]} × 0.20 = $3.12 m
投资者净回报：[($650 − $13 − $3.12)/$580] − 1 ≈ 9.29%
老师，您好，几个问题： 1. Hurdle rate不是都以期初投资initial investment为基数计算的吗？那这题是不是应该580*（1+4%）=603.2<610（high water Mark），即以610为基数计算incentive，（650-610）*20%=8？ 2. Alternatives讲义127页，李老师有讲过类似的题，如果提干net of management fee换成calculated independently，则360>357(high water mark)，那么incentive就是（360-357）*20%=0.6。 这两题不一样吗？为什么后者高水位357就不用*5%hurdle rate？前者高水位610要*4%hurdle rate？
