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max · 2019年05月31日

问一道题:NO.PZ2018053101000016 [ CFA I ]

1.年底规模360,不是超过高水位357了吗?难道是因为没有超过hurdle rate=357*1.05=374.85?

2.另外请问老师,是不是出现高水位的,算hurdle rate一律以高水位而不是期初规模为基础?

3.hard hurdle rate 和soft hurdle rate的区别一直分不清,麻烦老师帮忙捋一下,谢谢

问题如下图:

选项:

A.

B.

C.

解释:

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已采纳答案

韩韩_品职助教 · 2019年06月01日

同学您好:

这个题目,判断是否超过高水位,不能直接用年底AUM与之前高点比较,需要扣除完当期管理费,再与高水位比较,此处当年的管理费为7.2,扣除完后没有超过之前高点;另外,由高水位要求的,计算绩效奖时都是从高水位基础上算hurdle rate要求,而不是年初的AUM,这个就是高水位设置的初衷,不给重复的业绩表现发两次绩效奖;最后,hard和soft的区别就是,一旦达到要求,hard是只能以扣除完hurdle rate要求增长部分后,剩余的增长部分计算绩效奖;soft是,达到要求后,hurdle rate要求增长的部分也是计算绩效奖的基数;比如:年初或高水位为100,年底扣除完管理费后的净值是110,hurdle rate是5%,绩效奖是20%:那么hard就是只有105到110这一段,是计算基数,5*20%,而soft是100到110这一段都是计算基数,10*20%;这一块我们基础班、强化班都有非常详细的画图讲解,建议再简单回顾一下

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NO.PZ2018053101000016 问题如下 The following information applies to Rotun Aisors, a hee fun• $288 million in assets unr management (AUM) of prior year-en 2% management fee (baseon year-enAUM)• 20% incentive fee calculaten net of management feen using a 5% soft hure raten using a high-water mark (high-water mark is $357 million)• Current yefunreturn is 25%The totfee earneRotun in the current yeis closest to: A.$7.20 million. B.$20.16 million. C.$21.60 million. A is correct.Rotun earns a management fee of $7.20 million but es not earn incentive fee because the yearenfunvalue net of management fee es not exceethe high-water mark of $357 million.Rotun fees:Enof-yeAUM = Prior year-enAUM × (1 + Funreturn) = $288 million × 1.25 = $360 million$360 million × 2% = $7.20 million management fee$360 million – $7.2 million = $352.8 million AUM net of management feeThe year-enAUM net of fees es not exceethe $357 million high-water mark. Therefore, no incentive fee is earne年底AUM=年初AUM*(1+增长率)=$288 million × 1.25 = $360 million所以,管理费=$360 million × 2% = $7.20 million,因此扣除完管理费的年底净值=$360 million – $7.2 million = $352.8 million由于有高水位的要求,之前高点为$357 million,$352.8 million $357 million,未达到要求,所以不发绩效奖。GP只能拿到管理费部分。 高水位357,hure rate是5%,所以年末的AUM应该至少达到357*(1+5%)=374.85以上,才有可能拿绩效奖,现在年末AUM是360,所以没有绩效奖,只考虑管理费即可。

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