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学习王 · 2024年04月08日

Hidden Lake has a symmetrical fee structure in which the manager

  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.

选项：

解释：

题目哪里说明了呢

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1 个答案

吴昊_品职助教 · 2024年04月08日

嗨，爱思考的PZer你好：


这里有一个知识点，需要同学补充记忆一下（李老师在课后题讲解中有过补充）。如果基金经理的业绩激励费，有上限（maximum annual fee），那么费用结构一定是不对称的，不对称的就更像是call option。

这是一个知识点，在这个知识点的基础上，我们再来看本题。

激励费：是基于active return - base fee的。

由于active return是有正有负的，因此判断对称和不对称，还要看有无收益上限。

如果有上限，则不对称。如果无上限，则对称。

也就是说：

fee on active return, beyond based fee + 无 maximum annual fee = 对称。

fee on active return, beyond based fee + 有 maximum annual fee = 不对称。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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