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HL · 2022年05月16日

激励不应该从扣除管理费后开始计算吗

  1. CFA I
  2. Alternative

NO.PZ2021103102000051

问题如下：

A hedge fund has the following fee structure:

  • Annual management fee based on year-end AUM：2%
  • Incentive fee：20%
  • Hurdle rate before incentive fee collection starts：4%
  • Current high-water mark：$610 million

The fund has a value of $580 million at the beginning of the year. After one year, it has a value of $650 million before fees. The net percentage return to an investor for this year is closest to:

选项：

A.8.45% B.

9.29%

C.9.74%

解释：

管理费 = $650 × 2% = $13 m

由于该基金$650 m的期末总价值超过了$610 m的高水位线，基金管理人可以对高于该高水位线但扣除门槛回报率的收益部分，计算奖励费。奖励费计算如下:

{$650 − [$610 × (1 + 0.04)]} × 0.20 = $3.12 m

投资者净回报：[($650 − $13 − $3.12)/$580] − 1 ≈ 9.29%

奖励费计算如下:

{$650 − [$610 × (1 + 0.04)]} × 0.20 = $3.12 m

上面的650不应该用650*（1-0.02）=637来计算吗？


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Lucky_品职助教 · 2022年05月16日

嗨，爱思考的PZer你好：


如果题目说绩效奖计算需要net of management fee，就需要减去管理费，其他情况都不需要~

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