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