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· 2021年05月26日

请问high water mark为什么和扣除管理费后的资产价值比 而不是扣除前的 

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NO.PZ2018053101000016

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。

题目有特别说明吗 还是默认这样
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1 个答案

韩韩_品职助教 · 2021年05月26日

嗨，从没放弃的小努力你好：


同学你好，这里最主要的原因是题目说了 incentive fee calculated 是 net of management fee，也就是扣除mgmt fee之后再去判断，所以我们要先减掉，如果题目说是independently 计算的话，就是绩效奖和管理费分开单独计算，那么就不用扣减掉mgmt fee再判断。

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