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77 · 2021年08月12日

No.PZ2021050706000009

请问1. 为什么第三年的incentive fee要减去106.96而不是112,我感觉112往下都已经在第一年计算过了incentive fee了呢,再升到116的话,106.96到112的部分不会被重复计算嘛; 2. 老师能解释下为啥第二年的High water mark 还是= Highest ending capital position = $106.96 million嘛

感谢


A hedge fund with $98 million of initial capital charges a management fee of 2% and an incentive fee of 20%. The management fee is based on assets under management at year end and the incentive fee is calculated independently from the management fee. The fee structure has a high-water mark provision. The fund value is $112 million at the end of Year 1, $100 million at the end of Year 2, and $116 million at the end of Year 3. The net-of-fees return earned by the fund in Year 3 is closest to:

Solution: 

Net-of-fee returns are affected by the Year 1 high water mark and the Year 2 net capital position (i.e. Year 3 beginning capital position). Management fee = Year-end value × Management fee % = $116 million × 2% = $2.32 million Incentive fee = (Year-end value – High water mark) × Incentive fee % = ($116 million – $106.96 million) × 20% = $1.81 million. Total fees = Management fee + Incentive fee = $2.32 million + $1.81 million = $4.13 million Net-of-fees return = (Year-end value – Total fees – Beginning capital position)/Beginning capital position = ($116 million – $4.13 million – $98 million)/$98 million = 14.15%.

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韩韩_品职助教 · 2021年08月13日

嗨,努力学习的PZer你好:


同学你好,这里之所以减去106.96,因为106.96是上一年的HWM。

我们每一年是单独进行核算的,第二年的业绩是在第一年末的AUM基础上进行投资的,第一年从98升到112,之后进行各种分配,剩余到106.96,这就是第一年末的HWM,然后第二年下降到100,没法发绩效奖,但是可以需要发管理费,第三年的时候,升到了116,还是可以发绩效奖的,这个时候就是要把这里的106.96作为一个及格线了。

这个题目是HF当中最复杂的一个题目了,是在Mock当中出现的,可以把它作为一个典型的例子掌握方法。

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