search query: @author Ingersoll, J. E. / total: 10
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| Author: | Goetzmann, W. N. Ingersoll, J. E. Ross, S. A. |
| Title: | High-water marks and hedge fund management contracts |
| Journal: | Journal of Finance
2003 : AUG, VOL. 58:4, p. 1685-1717 |
| Index terms: | Investments Funds Contracts |
| Language: | eng |
| Abstract: | Incentive fees for money managers are frequently accompanied by high-water mark provisions that condition the payment of the performance fee upon exeeding the previously achieved maximum share value. Tha authors show that hedge fund performance fees are valuable to money managers, and conversely, represent a claim on a significant proportion of investor wealth. They provide a closed-form solution to the cost of the high-water mark contract under certain conditions. The results provide a framework for valuation of a hedge fund management company. |
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