“高水位”法下私募基金经理的激励与风险选择

Incentive and Risky Choice of Private Fund Managers under“High-Water Marks”

私募基金契约本质上是一种复杂的委托—代理关系。本文基于现行私募基金行业标准的“2-20”合同,在委托代理框架下,结合前景理论,讨论了“高水位”法对基金经理的激励效应及其导致的冒险行为。研究发现,在高水位激励下产生“承诺升级”现象,当基金经理在评估期对基金业绩超过“高水位”持乐观信念时,经理倾向采用保守型投资策略;反之其倾向激进的投资策略。由此提出“2-20”合同改进:业绩激励乘数随着基金经理的差异信念而时变,同时纳入对基金风险范围的约束,以防范代理投资过程中的过度冒险问题。

The private fund contract is essentially a complex principal-agent relationship.Based on the“2-20”contract of current private fund industry standard,this paper discusses the incentive effect of the“High-Water Marks”on fund managers and the resulting risk-taking behaviors under the framework of principal-agent and prospect theory.It is found that the phenomenon of commitment escalation occurs under the“High-Water Marks”incentive,and when fund managers are optimistic about the fund performance exceedingthe“High-Water Marks”during the evaluation period,they tend to adopt conservative investment strategy.On the contrary,a more aggressive investment strategy is preferred.Therefore,the improvement of“2-20”contract is proposed:the performance incentive multiplier should be adjusted with the changes in the subjective confidence of fund managers’,and at the same time,constraints on the scope of fund risks should be included to prevent excessive risks in the process of agency investment.