Summary
Like all established vaults, OrionVault implements a global High-Water-Mark (HWM) mechanism.
Fund accounting should compute High-Water-Marks per entry epoch and apply performance fees independently per epoch. The current on-chain implementation applies a single global HWM, which leads to incorrect fee attribution across users entering at different times.
Problem
This model is economically incorrect for fund accounting:
- Users enter the vault at different share prices
- A depositor should only pay performance fees on profits above their own entry HWM
- With a global HWM:
- New depositors can inherit an already-high HWM and underpay fees
- Early depositors can subsidize later ones
- Fee attribution becomes path-dependent and unfair
This diverges from standard hedge fund / asset management practices.
Expected behavior
- Track High-Water-Marks per entry epoch
- Group deposits into epochs (e.g. between rebalances or fee crystallization events)
- Apply performance fees independently per epoch
- Reset or advance HWMs per cohort, not globally
Challenges
There are non-trivial computational and storage challenges, including:
- Increased state complexity
- Potential gas costs
However, these challenges are worth addressing, as the current global HWM model is fundamentally misaligned with correct fund economics.
Conclusion
Global High-Water-Mark implementation is insufficient for a production-grade vault intended to mirror real fund behavior. Introducing per-epoch HWM accounting is necessary to ensure correct fee mechanics and economic fairness.
Summary
Like all established vaults, OrionVault implements a global High-Water-Mark (HWM) mechanism.
Fund accounting should compute High-Water-Marks per entry epoch and apply performance fees independently per epoch. The current on-chain implementation applies a single global HWM, which leads to incorrect fee attribution across users entering at different times.
Problem
This model is economically incorrect for fund accounting:
This diverges from standard hedge fund / asset management practices.
Expected behavior
Challenges
There are non-trivial computational and storage challenges, including:
However, these challenges are worth addressing, as the current global HWM model is fundamentally misaligned with correct fund economics.
Conclusion
Global High-Water-Mark implementation is insufficient for a production-grade vault intended to mirror real fund behavior. Introducing per-epoch HWM accounting is necessary to ensure correct fee mechanics and economic fairness.