不懂

问题如下：

ABC is a hedge fund with $100 million of initial investment capital. It charges a 1% management fee based on year-end AUM (rm) and a 20% performance fee (p). In its first year, ABC generates a 30% return. Assume management fees are calculated using an end-of-period valuation. In the second year, ABC fund value declines to $110 million. The fee structure includes the use of a high-water mark computed net of fees. What are ABC’s fees in the second year? What is an investor’s net return for the second year given this fee structure?

解释：

R_{GP(High-Water Mark)} = (P₂ × r_m) + max[0, (P₂ – P_HWM) × p]

r_i = (P₂ – P₁ – R_GP)/P₁

R_{GP(High-Water Mark)} = $110 million × 1% + max[0, ($110 million – $122.7 million) × 20%]= $1.1 million.

r_i = ($110 million – $122.7 million – $1.1 million)/$122.7 million= –11.247%.

The beginning capital position in the second year for the investors is $130 million − $7.3 million = $122.7 million. The ending capital position at the end of the second year is $110 million − $1.1 million = $108.9 million.