This is a cylinder scaled down on the bottom. It has 8 faces and has 'Shading' set to 'Smooth'. But it looks like that:
I've also tried Edge Split modifier and Auto Smooth option with max angle value and I still can't get perfectly smooth result. I remember doing the exact same thing in 3dsMax back then (cylinder with 8 sides, perfectly smooth using smoothing groups) and it wasn't a problem.
These hard edges also show up when I export the model to Unreal Engine 4.