题目
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%.
答案
C
解析
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 = 7.64%. ： C是正确的。本年度的管理费为： $642 × 0.02 = $12.84 million. 由于期末值超过了高水位线，因此可以收取激励费： {$642 – [$610 × (1＋ 0.04)]} × 0.20 = $1.52 million. 本年投资者净回报率： [($642 – $12.84 – $1.52)/$583.1] – 1 = 7.64%