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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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