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石欣灵 · 2023年05月06日

Bonus-style fee

老师,请问这道题怎么理解?怎么看出Hidden Lake是Symmetric, 而Carpenter是call option. 协会给的答案如下:

Solution

Identify which manager’s fee structure is most similar to a call option on a share of active return. (Circle one)Hidden LakeCarpenter Management

Justify your selection.Carpenter Management has a bonus-style fee with a maximum fee feature. Bonus-style fees are the close equivalent of a manager’s call option on a share of active return, for which the base fee is the strike price—for example, the 18 bps base fee, plus a long call option on active return with a strike price equal to the minimum (base) fee, minus another (less valuable call option) with a strike price equal to the maximum fee. Hidden Lake has a symmetrical fee structure in which the manager is fully exposed to both the downside and upside. So, of the two firms, Carpenter Management’s fee structure is most similar to a call option.



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pzqa015 · 2023年05月07日

嗨,从没放弃的小努力你好:


题目表格下面有注释:*代表最低费率,Hidden lake没有最低费率,而Carpenter有最低费率,所以,Hidden是symmetric结构的,也就是对称结构,管理人与投资者同样承担风险,同样获得汇报。

call option是未来有权获得某项东西,而对于本题而言,这个东西就是额外的管理费,Hidden Lake是对称费率结构,如果亏损了,是要承担亏损的;而Carpenter是非对称结构,如果亏损了,可以不承担亏损,类似不行权,如果盈利了,获得额外收益,类似于行权获得额外管理费,所以,Carpenter更像是call option。


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