"Alternative Investments":Transparency in reporting positions

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來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2020/11/25 10:22:59　字體：大小

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Questions 1:

A hedge fund with an initial value of $100 million has a management fee of 2% and an incentive fee of 20%. Management and incentive fees are calculated independently using end-of-period valuation. The value must reach the previous high-water mark before incentive fees are paid. The table below provides end-of-period fund values over the next three years.

Alternative Investments:Transparency in reporting positions

The total amount of fees earned by the hedge fund in Year 3 is closest to:

A 、$4.8 million.

B、 $5.5 million.

C、 $5.9 million.

Questions 2:

An investor who has positions in multiple long–short equity hedge funds and is concerned about whether these positions are sufficiently diversified will mostly likely be concerned about the lack of:

A 、transparency in reported positions.

B 、frequent independent valuations.

C 、liquidity in the underlying assets.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. The incentive fee is based on the performance relative to the previous high-water mark after fees. Management fee: 2% of $125 million = $2.5 million Incentive fee: 20% of ($125 million – $113.6 million) = $2.28 million In total: $2.5 million + $2.28 million = $4.78 million

B is incorrect because the incentive fee is incorrectly based on the fund value before fees in the second year. Management fee: 2% of $125 million = $2.5 millionIncentive fee: 20% of ($125 million – $110 million) = $3 million In total: $2.5 million + $3 million = $5.5 million

C is incorrect because the incentive fee is incorrectly based on the fund value after fees in the second year. Management fee: 2% of $125 million = $2.5 million Incentive fee: 20% of ($125 million – $107.8 million) = $3.44 million In total: $2.5 million + $3.44 million = $5.94 million

【Answer to question 2】A

【analysis】

A is correct. Long–short hedge funds invest in liquid, publicly traded equity (taking long and short positions); therefore, the underlying positions can be reversed easily and there is no need for independent valuations because current market prices are available. The investor will have difficulty in determining if the different funds are holding diverse or concentrated positions (both within each fund and between funds) because hedge funds generally do not reveal their holdings.

B is incorrect because these funds hold publicly traded securities with fresh market prices.

C is incorrect because these funds hold publicly traded securities that trade in liquid markets.

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