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tzdsgn · 2023年06月13日

call option 不是应该是bonus style 带来的吗

  1. CFA III
  2. Trading&Performance

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.

解释：

call option 不是应该是bonus style 带来的吗

之前的题目回答中，意思是由于cap造成的不对称带来的


还有看到一个回答中的评论，有同样困惑就粘贴过来：

没太明白这个解释，有个cap为啥像call option了呢？这里都应该是long call吧，Long call明明没有上限呀。 另外，两边都写了是base fee, 是不是都是无条件至少给base fee的？而carpenter的base fee又写了个Minimum fee，实在不知道怎么理解这个0.18%。

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1 个答案

笛子_品职助教 · 2023年06月14日

嗨，从没放弃的小努力你好：


没太明白这个解释，有个cap为啥像call option了呢？

Hello，亲爱的同学~

这个知识点就需要同学根据这道题目，来补充一下了。在课后题解析里，李老师讲的是，有了cap，说明是非对称的收费结构。


我们可以这么理解：基金经理最高只能收到这么多费用，既然限制了基金经理收费的上限，那么也就不应该让基金经理无限共担客户风险。

因为如果，既有收益的上限cap，又要基金经理与客户共担风险，那么这家对于基金经理来说，就是收益有限，风险无限的事情。

基金经理是做金融的，大部分时候，都是从业者收割客户，没有客户收割从业者的。既然都知道这种结构不好，基金经理也就不可能同意这样的要求。

因此，有了cap，那么基金经理一般来说，默认为，不与客户承担风险。哪怕亏爆了，也能有个管理费收收。


这里都应该是long call吧，Long call明明没有上限呀。 

在trade这里，我们一般认为，不对称的收费，就是long call 。不讨论这个不对称结构，是有上限，还是没上限。这个和衍生品不完全一样。


另外，两边都写了是base fee, 是不是都是无条件至少给base fee的？

不是的。

对于对称结构，如果做亏了，不仅收不到base fee，基金经理还要自掏腰包补偿一部分客户亏损。

对于不对称结构，最少可以收到base fee。


而carpenter的base fee又写了个Minimum fee，实在不知道怎么理解这个0.18%。

0.18%可以理解为为base fee，也可以理解为minimum fee。因为这个基金最少收费就是base fee。因此minimum fee = base fee

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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