关键词: 私募基金, 高水位激励, 风险选择

Abstract: 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.

Key words: private fund, “High-Water Marks” excitation, risky choice