"Alternative Investments":Introduction to Alternative

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Questions 1:

At the first of the year, an investor decides to invest $1.5 million in a hedge fund with an incentive fee of 15% and a hard hurdle rate of 4%. At the end of the year, the fund has a return of 23.3%. The incentive fee payment that the general partner of the fund earned based on this client’s investment at the end of the year is closest to?

A 、$43,425

B 、$52,425

C、 $38,445

Questions 2:

A hedge fund begins the year with $120 million and earns a 25% return for the year. The fund charges a 1.5% management fee on end-of-year fund value and a 15% incentive fee on the return, net of the management fees, that is in excess of a 6% fixed hurdle rate. The fund’s investors’ return for the year, net of fees, is closest to:

A、 20.56%.

B、 21.25%.

C、 19.66%

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. The investor’s return met the 4% hurdle rate, so the incentive fee charged would be ($1,849,500 – $1,500,000 – $60,000) × 15% = $43,425.

B is incorrect because the fee was calculated using an increased asset base as follows: 23.3% × $1.5 million = $349,500 and then taking a 15% incentive fee on this return: $349,500 × 15% = $52,425.

C is incorrect because the fee was calculated using an increased investor asset base as follows: 23.3% × $1.5 million = $349,500 and then taking a 15% incentive fee on this return less a 4% hurdle rate: $349,500 × 15% – 4% = $38,445

【Answer to question 2】A

【analysis】

A is correct. The $120 million grows by 25% to $150 million [= $120 million × (1 + 0.25)]. The management fee is $2.25 million (= $150 million × 0.015), leaving $147.75 million, net of the management fee, or an increase of $27.75 million over the beginning value of $120 million. The 6% hurdle rate requires an increase of $7.2 million (= $120 million × 0.06), so the fund has earned $20.55 million (= $27.75 million – $7.2 million) over the hurdle rate, net of the management fee. The incentive fee is 15% of this, or $3.0825 million (= $20.55 million × 0.015), leaving an increase in fund assets, net of management and incentive fees, of $24.6675 million (= $27.75 million – $3.0825 million). The investors’ return, net of fees, is $24.6675/$120 million = 20.56%.

C is incorrect because it fails to adjust for the hurdle rate when calculating the incentive fee or 0.15 × $27.75 million = $4.1625 million and $27.75 million – $4.1625 million = $23.5875 million. $23.5875 million/$120 million = 19.66%.

B is incorrect because it ignores that management fee. The fund grows to $150 million. Incentive fee is ($150 million – $120 million) × 0.15 = $4.5 million $150 million – $120 million – $4.5 million = $25.5 million $25.5 million/$120 million = 0.2125

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