18****05
2021-07-06 16:58老師，問下，有關于high water mark的例題么？能不能給我一個例題和答案我學習一下，謝謝。
所屬：CFA Level I > Alternative Investments 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Vicky助教
2021-07-06 17:09
該回答已被題主采納
同學你好，
你可以去做一下原版書課后題中，其中有涉及high water mark的相關計算哦。
29. 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:
A. 6.72%.
B. 6.80%.
C. 7.64%.
解析：
C是正確的. 管理費如下：
$642 × 0.02 = $12.84 million.
由于期末值超過了高水位線，因此可以收取激勵費：
{$642 – [$610 × (1 + 0.04)]} × 0.20 = $1.52 million.
本年投資者凈回報率：
[($642 – $12.84 – $1.52)/$583.1] – 1 ≈ 0.07638 ≈ 7.64%.
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