feat(OrionVault): Per-epoch High-Water-Mark accounting

[matteoettam09]

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.