NO.PZ2022122701000054
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:
Correct Answer:
之前的回答都没到位啊第一个费用结构看不出亏了要赔钱。还有一个延伸问题如果两个都是保底加盈利有奖金亏了不赔钱的结构,那更像看涨期权的应该是没有封顶的对不对?