问题如下图:
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解释:
请问,从哪可以看出hurdle rate 是在高水位水平上进行计算的?
韩韩_品职助教 · 2019年09月16日
同学您好:
高水位线的设置是为了避免给相同业绩表现支付两次绩效奖,以这个题目数字为例,年初AUM为583.1,但是之前的高点达到过610,因此为了避免再次给583.1到610这一段的增长再计算一次绩效奖,就要从610为起点开始计算;而你的问题:为什么610*1.04。而不是直接减610,是因为还有一个4%的hurdle rate的要求呀,这表示从610开始到年底AUN(642)这一段不是都能计算绩效奖的,只有再超过了610*1.04的部分,才是今年能领取绩效奖的增值部分。这一块的计算,有时会比较复杂,会有多种条件下对应的多种情况,绩效奖是否独立于管理费?hurdle rate是soft还是hard?是否有高水位的要求?我们的视频课中有详细的讲解,建议快速看一道题,彻底了解清楚这个考点。
Athena_lm · 2019年09月16日
hundle rate 不是针对AUM的吗?
韩韩_品职助教 · 2019年09月16日
hurdle rate是对基金本年增长的一个最低要求,就是比如今年初AUM是100,在5%的hurdle rate要求下,你至少要增长超过105的部分才有资格拿绩效奖,只不过有高水位线(前期高点)要求时,就要求你得在高水位线基础上增长幅度超过hurdle rate的要求。高水位线决定你从哪开始算今年增长的,而hurdle rate是要求你在年初基数(有高水位线就是高水位值,没有就是年初AUM)上,增长的一个最低要求。
NO.PZ2018053101000017 问题如下 A hee funhthe following fee structure:Annumanagement fee baseon year-enAUM 2%Incentive fee 20%Hure rate before incentive fee collection starts 4%Current high-water mark $610 millionThe funha value of $583.1 million the beginning of the year. After one year, it ha value of $642 million before fees. The net return to investor for this yeis closest to: A.6.72%. B.6.80%. C.7.64%. C is correct.The management fee for the yeis $642 × 0.02 = $12.84 million.Because the enng value excee the high-water mark, the hee funccolleincentive fee. The incentive fee is{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.The net return to the investor for the yeis[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.管理费=年底AUM*管理费率=$642 × 0.02 = $12.84 million因为642 610, 达到了之前高水位要求,可以拿到绩效奖绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million所以总费用=$12.84 million+$1.52 million=14.36million所以净收益=[($642 – $14.36)/$583.1]-1= 7.64%.注意这里的hure rate是在高水位水平上进行计算,而不是年初的AUM。 老师您好,,请问这道题的hure rate 是 harhure rate 吗?如果是 soft hure rate 计算有什么差异哈?我把harhure rate 的计算方式附在下面,谢谢老师。harhure rate “解题思路1 先计算管理费;2 判断绩效奖是否需要net管理费,题目未提及需要,则无需net管理费;3 与高水位比较,判断能否拿绩效奖——642 610, 达到了之前高水位要求,可以拿到绩效奖;4 计算绩效奖由于有hure rate 限制,先计算超过hure rate的部分,再乘以奖金系数——绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million5 计算净收益率,(期末AUM-管理费-绩效奖-期初AUM)/期初AUM = 净收益率——[($642 – $14.36)/$583.1]-1= 7.64%.第一次遇到这道题做不出来是正常的,因为既涉及hure rate又涉及高水位,和画图没关系,但按照我上面的思路慢慢做,还是可以做出来。既有水位线,又有hure rate要求,判断能否拿绩效奖时,两者都要满足,即年底AUM-管理费=年底净值,既要大于之前的高水位线(不用乘以1+hure rate),也要大于年初AUM*(1+hure rate),这个步骤是判断能不能拿绩效奖。一般题目给出的情况都是hure rate容易满足,高水位线不容易满足,即出现hure rate达到要求,但是高水位线没达到达到,因此不能拿到绩效奖的情况。 而具体计算绩效奖,在既有水位线,又有hure rate要求时,绩效奖的计算基础是以高水位线为起点,到年底净值(AUM)之间部分,是按照超过高水位*(1+hure rate)作为基础来计算。关于这一部分的计算,课后题视频中有详细讲解,建议再复习一下彻底掌握~”
NO.PZ2018053101000017 问题如下 A hee funhthe following fee structure:Annumanagement fee baseon year-enAUM 2%Incentive fee 20%Hure rate before incentive fee collection starts 4%Current high-water mark $610 millionThe funha value of $583.1 million the beginning of the year. After one year, it ha value of $642 million before fees. The net return to investor for this yeis closest to: A.6.72%. B.6.80%. C.7.64%. C is correct.The management fee for the yeis $642 × 0.02 = $12.84 million.Because the enng value excee the high-water mark, the hee funccolleincentive fee. The incentive fee is{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.The net return to the investor for the yeis[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.管理费=年底AUM*管理费率=$642 × 0.02 = $12.84 million因为642 610, 达到了之前高水位要求,可以拿到绩效奖绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million所以总费用=$12.84 million+$1.52 million=14.36million所以净收益=[($642 – $14.36)/$583.1]-1= 7.64%.注意这里的hure rate是在高水位水平上进行计算,而不是年初的AUM。 老师请问{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.这里为什么是610 × (1 + 0.04)如果是harrate的话是不是应该是(642-610)x0.2?
NO.PZ2018053101000017问题如下A hee funhthe following fee structure:Annumanagement fee baseon year-enAUM 2%Incentive fee 20%Hure rate before incentive fee collection starts 4%Current high-water mark $610 millionThe funha value of $583.1 million the beginning of the year. After one year, it ha value of $642 million before fees. The net return to investor for this yeis closest to:A.6.72%.B.6.80%.C.7.64%.C is correct.The management fee for the yeis $642 × 0.02 = $12.84 million.Because the enng value excee the high-water mark, the hee funccolleincentive fee. The incentive fee is{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.The net return to the investor for the yeis[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.管理费=年底AUM*管理费率=$642 × 0.02 = $12.84 million因为642 610, 达到了之前高水位要求,可以拿到绩效奖绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million所以总费用=$12.84 million+$1.52 million=14.36million所以净收益=[($642 – $14.36)/$583.1]-1= 7.64%.注意这里的hure rate是在高水位水平上进行计算,而不是年初的AUM。老师这题若将hue rate 变为soft hure rate的话,请问基准怎么算?
NO.PZ2018053101000017问题如下A hee funhthe following fee structure:Annumanagement fee baseon year-enAUM 2%Incentive fee 20%Hure rate before incentive fee collection starts 4%Current high-water mark $610 millionThe funha value of $583.1 million the beginning of the year. After one year, it ha value of $642 million before fees. The net return to investor for this yeis closest to:A.6.72%.B.6.80%.C.7.64%.C is correct.The management fee for the yeis $642 × 0.02 = $12.84 million.Because the enng value excee the high-water mark, the hee funccolleincentive fee. The incentive fee is{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.The net return to the investor for the yeis[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.管理费=年底AUM*管理费率=$642 × 0.02 = $12.84 million因为642 610, 达到了之前高水位要求,可以拿到绩效奖绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million所以总费用=$12.84 million+$1.52 million=14.36million所以净收益=[($642 – $14.36)/$583.1]-1= 7.64%.注意这里的hure rate是在高水位水平上进行计算,而不是年初的AUM。老师,能不能画个图,已经习惯了李老师上课的方法了。麻烦您纠正下我画的
NO.PZ2018053101000017 问题如下 A hee funhthe following fee structure:Annumanagement fee baseon year-enAUM 2%Incentive fee 20%Hure rate before incentive fee collection starts 4%Current high-water mark $610 millionThe funha value of $583.1 million the beginning of the year. After one year, it ha value of $642 million before fees. The net return to investor for this yeis closest to: A.6.72%. B.6.80%. C.7.64%. C is correct.The management fee for the yeis $642 × 0.02 = $12.84 million.Because the enng value excee the high-water mark, the hee funccolleincentive fee. The incentive fee is{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.The net return to the investor for the yeis[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.管理费=年底AUM*管理费率=$642 × 0.02 = $12.84 million因为642 610, 达到了之前高水位要求,可以拿到绩效奖绩效奖=[$642 –($610 × 1.04)]× 0.20 = $1.52 million所以总费用=$12.84 million+$1.52 million=14.36million所以净收益=[($642 – $14.36)/$583.1]-1= 7.64%.注意这里的hure rate是在高水位水平上进行计算,而不是年初的AUM。 而具体计算绩效奖,在既有水位线,又有hure rate要求时,绩效奖的计算基础是以高水位线为起点,到年底净值(AUM)之间部分,是按照超过高水位*(1+hure rate)作为基础来计算。为啥是超过高水位*(1+hure rate)作为基础呢。。。。不应该是超过高水位的部分就行么。。。