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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。

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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?

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