NO.PZ202110280100001302
问题如下：
Discuss how Smith’s stated expectation would be reflected in estimated portfolio risk under the fee structure identified by Porter.
选项：
解释：
Under the fee structure identified by Porter, Smith’s stated expectation would be reflected in a misestimation of portfolio risk because performance-based fee structures may lead to such misestimates. Performance-based fee structures convert symmetrical gross active return distributions into asymmetrical net active return distributions, reducing variability on the upside but not the downside. As a result, a single standard deviation calculated on a return series that incorporates active returns, above and below the base fee, can lead to the underestimation of downside risk. In contrast, fully symmetric fees (fully exposing the manager to both upside and downside results) tend to yield closer alignment in risk and effort than bonus-style fees.
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