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 $583.1 million at the beginning of the year. After one year, it has a value of $642 million before fees. The net return to an investor for this year is closest to:
选项:
A. 6.72%.
B. 6.80%.
C. 7.64%.
解释:
C is correct.
The management fee for the year is $642 × 0.02 = $12.84 million.
Because the ending value exceeds the high-water mark, the hedge fund can collect an incentive fee. The incentive fee is
{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.
The net return to the investor for the year is
[($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hurdle rate是在高水位水平上进行计算,而不是年初的AUM。
若题目给了 high water mark的话,计算hurdle rate 的水平是不是都是要在high water mark 基础上做乘法呢?