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H. · 2020年12月03日

问一道题:NO.PZ2018053101000016 [ CFA I ]

问题如下:

The following information applies to Rotunda Advisors, a hedge fund:

 $288 million in assets under management (AUM) as of prior year-end

 2% management fee (based on year-end AUM)

 20% incentive fee calculated:

n net of management fee

n using a 5% soft hurdle rate

n using a high-water mark (high-water mark is $357 million)

 Current year fund return is 25%

The total fee earned by Rotunda in the current year is closest to:

选项:

A.

$7.20 million.

B.

$20.16 million.

C.

$21.60 million.

解释:

A is correct.

Rotunda earns a management fee of $7.20 million but does not earn an incentive fee because the yearend fund value net of management fee does not exceed the high-water mark of $357 million.

Rotunda fees:

End-of-year AUM = Prior year-end AUM × (1 + Fund return) = $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 fee

The year-end AUM net of fees does not exceed the $357 million high-water mark. Therefore, no incentive fee is earned.

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。

​是不是hard hurdle rate才是在high-water*(1+hurdle rate)的基础上去计算incentive fee? 题是soft hurdle rate,是不是和初始本金比?但是因为有高水位,是不是基础就是high water?这个逻辑对吗?

1 个答案

韩韩_品职助教 · 2020年12月03日

嗨,爱思考的PZer你好:


同学你好,我们判断的基准都是high water mark, 只是在计算绩效奖的时候,如果同时有HWM又有hard hurdle rate, 那么就按照HWM*(1+hurdle rate), 如果是HWM+soft hurdle rate,那么就是直接HWM。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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