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未未 · 2023年02月18日

题中表格是否有误？

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100001303

问题如下：

Calculate the net active return based on each possible gross active return provided using the selected data in Exhibit A. Show your calculations.

选项：

解释：

Gross Active Return ≤ 0.20%:

Gross Active Return at or below the Base Fee − Base Fee = Net Active Return

0.20 − 0.20 = 0.00

=> Net Active Return ≤ 0.00%

Base Fee = Billed Fee (No Sharing Fee)

0.20

Gross Active Return = 0.75%:

Active Return − Base Fee = Return Subject to Sharing Fee

0.75 − 0.20 = 0.55

Return Subject to Sharing Fee × Sharing Fee = Additional Fee Due to Sharing Fee

0.55 × 0.25 = 0.1375

Base Fee + Additional Fee Due to Sharing Fee = Billed Fee

0.20 + 0.1375 = 0.3375

Active Return − Billed Fee = Net Active Return

0.75 − 0.3375 = 0.4125, rounded to 0.41%

Gross Active Return = 1.25% is the breakeven active return (No Sharing Fee):

Gross Active Return − Standard Fee = Net Active Return

1.25 − 0.35 = 0.90 or 0.90%

Standard Fee = Billed Fee (No Sharing Fee)

0.35

Gross Active Return = 1.75%:

Gross Active Return − Base Fee = Return Subject to Sharing Fee

1.75 − 0.20 = 1.55

Return Subject to Sharing Fee × Sharing Fee = Additional Fee Due to Sharing Fee

1.55 x 0.25 = 0.3875

Base Fee + Additional Fee Due to Sharing Fee = Billed Fee

0.2 + 0.3875 = 0.5875

Gross Active Return − Billed Fee = Net Active Return

1.75 − 0.5875 = 1.1625, rounded to 1.16%

sharing那一行是0.25， 实际应该是25吧，前后的数据都是带%的，突然变成0.25

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1 个答案

吴昊_品职助教 · 2023年02月18日

嗨，爱思考的PZer你好：


表格是原版书上直接给的表格，确实是有不严谨的地方，sharing肯定是0.25，不能是0.25%。其余数字都是百分比形式。

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NO.PZ202110280100001303 问题如下 Calculatethe net active return baseon eapossible gross active return proviusingthe selecteta in Exhibit Showyour calculations. GrossActive Return ≤ 0.20%:Gross Active Return or below the Base Fee − Base Fee = Net ActiveReturn0.20 − 0.20 = 0.00= Net Active Return ≤ 0.00%Base Fee = BilleFee (No Sharing Fee)0.20GrossActive Return = 0.75%:Active Return − Base Fee = Return Subjeto Sharing Fee0.75 − 0.20 = 0.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee0.55 × 0.25 = 0.1375Base Fee + AitionFee e to Sharing Fee = BilleFee0.20 + 0.1375 = 0.3375Active Return − BilleFee = Net Active Return0.75 − 0.3375 = 0.4125, rounto 0.41%GrossActive Return = 1.25% is the breakeven active return (No Sharing Fee):Gross Active Return − StanrFee = Net Active Return1.25 − 0.35 = 0.90 or 0.90%StanrFee = BilleFee (No Sharing Fee)0.35GrossActive Return = 1.75%:Gross Active Return − Base Fee = Return Subjeto Sharing Fee1.75 − 0.20 = 1.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee1.55 x 0.25 = 0.3875Base Fee + AitionFee e to Sharing Fee = BilleFee0.2 + 0.3875 = 0.5875Gross Active Return − BilleFee = Net Active Return1.75 − 0.5875 = 1.1625, rounto 1.16% Gross Active Return = 1.25% is the breakeven active return (No Sharing Fee):Gross Active Return − StanrFee = Net Active Return1.25 − 0.35 = 0.90 or 0.90%StanrFee = BilleFee (No Sharing Fee)0.35为什么breakeven没有 Sharing Fee？

2024-07-28 17:12 1 · 回答

NO.PZ202110280100001303 问题如下 Calculatethe net active return baseon eapossible gross active return proviusingthe selecteta in Exhibit Showyour calculations. GrossActive Return ≤ 0.20%:Gross Active Return or below the Base Fee − Base Fee = Net ActiveReturn0.20 − 0.20 = 0.00= Net Active Return ≤ 0.00%Base Fee = BilleFee (No Sharing Fee)0.20GrossActive Return = 0.75%:Active Return − Base Fee = Return Subjeto Sharing Fee0.75 − 0.20 = 0.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee0.55 × 0.25 = 0.1375Base Fee + AitionFee e to Sharing Fee = BilleFee0.20 + 0.1375 = 0.3375Active Return − BilleFee = Net Active Return0.75 − 0.3375 = 0.4125, rounto 0.41%GrossActive Return = 1.25% is the breakeven active return (No Sharing Fee):Gross Active Return − StanrFee = Net Active Return1.25 − 0.35 = 0.90 or 0.90%StanrFee = BilleFee (No Sharing Fee)0.35GrossActive Return = 1.75%:Gross Active Return − Base Fee = Return Subjeto Sharing Fee1.75 − 0.20 = 1.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee1.55 x 0.25 = 0.3875Base Fee + AitionFee e to Sharing Fee = BilleFee0.2 + 0.3875 = 0.5875Gross Active Return − BilleFee = Net Active Return1.75 − 0.5875 = 1.1625, rounto 1.16% 老师，表格里给的数据单位给的都是%，但实际我们知道哪个sharing不可能是0.25%，而就是0.25； 所以题目这里是表述的不严谨吗？那如果考试遇到这种情况，我们是默认sharing比例是0.25还是0.25(%）？

2024-05-12 11:52 1 · 回答

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2023-07-14 14:46 2 · 回答

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2023-06-28 19:35 1 · 回答

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2023-06-06 23:54 1 · 回答