开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

虎哥 · 2022年05月08日

请问题目哪里看出来Hidden Lake两边都expose to?

NO.PZ2021102801000016

问题如下:

At a meeting for the local municipal pension fund, a group of beneficiaries expressed concern about current investment management fees. The beneficiaries asked the Investment Committee for a fee summary of each manager in the portfolio.

The next day, a pension fund staff member briefed the Committee on the managers’ full contracted fee schedules. The Committee was surprised to hear that the managers work under numerous different fee structures and rates. A sample of these fee schedules for two managers is provided in Exhibit 1:

In explaining the differences, the staff member said that fee structures may lead to misestimates of portfolio risk. She also noted that performance-based fees sometimes are a close equivalent to a manager’s call option on active return.

Identify which manager’s fee structure is most similar to a call option on a share of active return. Justify your selection.

选项:

解释:

是说只要题目没有特别说明,就假设upside和downside都subject to performance fee吗

1 个答案

吴昊_品职助教 · 2022年05月08日

嗨,从没放弃的小努力你好:


本题研究对象是active return。active return应该扣除base fee来考察。我们从对称不对称的角度来思考比较好。因为C基金有一个cap,所以是不对称的,更像一个call option。而hidden基金没有上下限,是对称的。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

李艳林 · 2022年05月24日

这个题目不是因为有cap才是不对称的,是因为有floor才是不对称的吧?

  • 1

    回答
  • 0

    关注
  • 842

    浏览
相关问题

NO.PZ2021102801000016问题如下 a meeting for the locmunicippensionfun a group of beneficiaries expresseconcern about current investmentmanagement fees. The beneficiaries askethe Investment Committee for a feesummary of eamanager in the portfolio.The next y, a pension funstmemberbriefethe Committee on the managers’ full contractefee scheles. TheCommittee wsurpriseto heththe managers work unr numerous fferentfee structures anrates. A sample of these fee scheles for two managers isproviin Exhibit 1:In explaining the fferences, the stmembersaithfee structures mleto misestimates of portfolio risk. She alsonotethperformance-basefees sometimes are a close equivalent to amanager’s call option on active return.Intifywhimanager’s fee structure is most similto a call option on a share ofactive return. Justify yourselection. 请问下老师,如果是考试的话,这道题应该回答到哪些点可以得分呢?答案里还举了个例子

2024-11-13 18:10 2 · 回答

NO.PZ2021102801000016 问题如下 a meeting for the locmunicippensionfun a group of beneficiaries expresseconcern about current investmentmanagement fees. The beneficiaries askethe Investment Committee for a feesummary of eamanager in the portfolio.The next y, a pension funstmemberbriefethe Committee on the managers’ full contractefee scheles. TheCommittee wsurpriseto heththe managers work unr numerous fferentfee structures anrates. A sample of these fee scheles for two managers isproviin Exhibit 1:In explaining the fferences, the stmembersaithfee structures mleto misestimates of portfolio risk. She alsonotethperformance-basefees sometimes are a close equivalent to amanager’s call option on active return.Intifywhimanager’s fee structure is most similto a call option on a share ofactive return. Justify yourselection. 题目哪里说明了呢

2024-04-08 10:08 1 · 回答

NO.PZ2021102801000016 问题如下 a meeting for the locmunicippensionfun a group of beneficiaries expresseconcern about current investmentmanagement fees. The beneficiaries askethe Investment Committee for a feesummary of eamanager in the portfolio.The next y, a pension funstmemberbriefethe Committee on the managers’ full contractefee scheles. TheCommittee wsurpriseto heththe managers work unr numerous fferentfee structures anrates. A sample of these fee scheles for two managers isproviin Exhibit 1:In explaining the fferences, the stmembersaithfee structures mleto misestimates of portfolio risk. She alsonotethperformance-basefees sometimes are a close equivalent to amanager’s call option on active return.Intifywhimanager’s fee structure is most similto a call option on a share ofactive return. Justify yourselection. 损失有限收益无限,为什么不是long call?

2023-08-31 19:27 1 · 回答

NO.PZ2021102801000016 问题如下 a meeting for the locmunicippensionfun a group of beneficiaries expresseconcern about current investmentmanagement fees. The beneficiaries askethe Investment Committee for a feesummary of eamanager in the portfolio.The next y, a pension funstmemberbriefethe Committee on the managers’ full contractefee scheles. TheCommittee wsurpriseto heththe managers work unr numerous fferentfee structures anrates. A sample of these fee scheles for two managers isproviin Exhibit 1:In explaining the fferences, the stmembersaithfee structures mleto misestimates of portfolio risk. She alsonotethperformance-basefees sometimes are a close equivalent to amanager’s call option on active return.Intifywhimanager’s fee structure is most similto a call option on a share ofactive return. Justify yourselection. 从哪看出?这俩不都是对称的么

2023-07-15 21:07 2 · 回答

NO.PZ2021102801000016 问题如下 a meeting for the locmunicippensionfun a group of beneficiaries expresseconcern about current investmentmanagement fees. The beneficiaries askethe Investment Committee for a feesummary of eamanager in the portfolio.The next y, a pension funstmemberbriefethe Committee on the managers’ full contractefee scheles. TheCommittee wsurpriseto heththe managers work unr numerous fferentfee structures anrates. A sample of these fee scheles for two managers isproviin Exhibit 1:In explaining the fferences, the stmembersaithfee structures mleto misestimates of portfolio risk. She alsonotethperformance-basefees sometimes are a close equivalent to amanager’s call option on active return.Intifywhimanager’s fee structure is most similto a call option on a share ofactive return. Justify yourselection. 从哪里看得出来hien基金没有上下限,是对称的。SHARING那里不是写了,BEYONBASE FEE么,所以我理解要收SHAREING是必须大于BASE FEE的,所以HIEN基金也没办法扣除负的收益,也不是对称的啊。

2023-06-24 21:27 1 · 回答