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%
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%
首先判断能否拿绩效奖，就是判断有没有超过610和580*1.04对吧？因为这个地方高水位610>580*1.04，所以就采用610，但是后面计算的时候为什么还要计算610*1.04呢，这个hurdle rate难道不是基于年初初始金额580定的吗？
如果我年初的初始投资是600，600*1.04是大于高水位610的，那我后面计算还需要610*1.04*1.04吗，如果不用的话这个定义就挺歧义的？
