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ditto · 2023年11月04日

hurdle rate 算完比高水位还要高, 这样不也是没有达到计提的标准吗

NO.PZ2018062021000017

问题如下:

A hedge fund applies for “2 and 20” fee structure, current asset value is $515, management fee is based on year-end asset value, hurdle rate is 5% before incentive fee collection starts, and current high-water mark is $540. After one year, the hedge fund is $602.5. What’s the net return to an investor?

选项:

A.

11.35%.

B.

12.68%.

C.

13.27%.

解释:

C is correct.

管理费=年底AUM*管理费率=$602.5 × 0.02 = $12.05 million

因为602.5>540, 达到了之前高水位要求,可以拿到绩效奖

绩效奖= [$602.5-$540×(1+5%)]×20%= $7.1 million

所以总费用=$12.05 million+$7.1 million=19.15million

所以净收益=[($602.5 $19.15)/$515]-1=13.27%.

这里因为绩效奖并没有说是否需要扣除管理费之后计算,所以按照两个费率独立的方式进行计算。

年初AUV乘以Hurdle rate 515*1.05 = 567,比高水位540还要高,这样不是没有达到高水位的标准吗,为什么还可以算incentive fee

1 个答案
已采纳答案

pzqa35 · 2023年11月07日

嗨,努力学习的PZer你好:


这道题是net return的计算,首先管理费的计算是管理费=年底AUM*管理费率=602.5 × 0.02 = 12.05 million,对于绩效奖金的计算,我们是要在超过high-water-mark以及hurdle rate之后的部分才可以拿,也就是要超过540*(1+5%)=567,所以绩效奖=(602.5-567)*20%=7.1million。总费用就是12.05+7.1=19.15million,那么基金的收益=(602.5-515-19.15)/515=13.27%。要注意此时的hurdle rate需要在high-water mark上进行叠加,而不是用515*1.05 =540.75,这是因为基金到达高水位的部分在之前就已经分过奖金了,所以需要在高水位线之上的超过hurdle rate才能再分钱。

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