|
|
Hard hurdle rate与Soft hurdle rate，是在CFA一级另类投资中，多数考生经常容易混淆的一对概念。考纲的要求为，需要清楚地知道它们是如何计提激励费的，并且要求会计算。
维基百科中对hurdle rate的解释是，基金管理人（GP）取得业绩提成之前，必须达到的最低的收益率。（Hurdle rate：A minimum rate of return(e.g.,8-12%),which must be achieved before the fund manager can receive anycarried interest payments.）一个可能引起我们思考的问题是：在达到或超过约定的最低收益率时，GP是仅对超出门槛收益率的超额部分按约定的比例计提业绩提成，还是对全部的盈利分配业绩提成？
如果仅对超出门槛收益率的超额部分按约定的比例计提业绩提成，则为hard hurdle rate。如果对全部的盈利分配业绩提成，则为soft hurdle rate。在考题中，考生应当注意看清题目表述，采用是哪种方式分配业绩提成。如果没有特殊说明，一般都为hard hurdle rate的情况。
举一个简化的例子，不考虑管理费，期初100W；第一年后管理资产的价值为110W（收益10%）；如果是soft hurdle rate=8%，就先作比较，10%大于8%，OK，可以提激励费了，对110-100，这部分收取激励费。如果是hard hurdle rate=8%（收益超过8%的部分才提），只针对110-108（110-100-100*8%）这部分提激励费。
下用给出两道典型的例题及解析供考生参考。
1.A British hedge fund has avalue of￡100 million at the beginning of the year.The fund charges a 2%management fee based on assets under management at the end of the year and a20%incentive fee with a soft hurdle rate of LIBOR+2.5%.Incentive fees arecalculated net of management fees.If the relevant LIBOR rate is 2.5%and thefund’s value at the end of the year before fees is￡120 million,the net returnto investors is closest to:
A.17.6%.
B.16.5%.
C.14.1%.
Answer=C
Management fee=￡120.0×2.0%=￡2.4 million.
Gross value at end of year(given)=￡120.0 million.
Gross return=(￡120.0/￡100.0)−1=20.0%.The softhurdle rate of 2.5%+2.5%=5.0%was exceeded.
Incentive fee=(￡120.0−￡100.0−￡2.4)×20%=￡3.52million.
Total fee=￡2.40+￡3.52=￡5.92 million.
Net of fee:￡120.00−￡5.92=￡114.08 million.
Net return=(￡114.08/￡100.00)−1=14.1%.
这道题目需要提醒考生注意的是，管理费是基于资产年末的价值。门槛回报率为soft hurdle rate。我们计算一个gross return（费前的收益率），如果超过了soft hurdle rate就计提激励费。此题中，20%大于5%，需要计量激励费，而且激励费为扣除管理费之后的全部盈利。
2.A Canadian hedge fund has a value of C$100 million at thebeginning of the year.The fund charges a 2%management fee based on assetsunder management at the beginning of the year and a 20%incentive fee with a10%hard hurdle rate.Incentive fees are calculated net of management fees.Thevalue at the end of the year before fees is C$112 million.The net return toinvestors is closest to:
A.10%.
B.8%.
C.9%.
Answer=A
Management Fee:C$100.0×2.0%=C$2.0 million
Gross value at end of year(given)=C$112.0 million
Incentive fee=[(C$112.0−C$100.0−C$2.0−(C$100.0×10.0%)]×20%=C$0
Total fee=C$2.0 million
Net of fee:C$112.0−C$2.0=C$110.0 million
Net return=(C$110.0/C$100.0)−1=10.0%
这道题目需要提醒考生注意的是，管理费是基于资产期初的价值。门槛回报率为hard hurdle rate。激励费=期末价值-期初价值-管理费-期初价值*hard hurdle rate。
CFA论坛（bbs.cfa.cn）综合整理，来源：CFAer，若需引用或转载,请注明出处 ，仅供参考、交流之目的，涉及版权请联系删除。
|
|
发表于 2017-8-16 10:45:58
