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程冠林 · 2024年12月19日

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  1. CFA III
  2. Trading&Performance

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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.

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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.

reducing variability on the upside but not the downside这句话怎么理解，为什么是reduce

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NO.PZ202110280100001302 问题如下 scusshow Smith’s stateexpectation woulreflectein estimateportfolio riskunr the fee structure intifiePorter. Unr the fee structure intifiePorter,Smith’s stateexpectation woulreflectein a misestimation of portfoliorisk because performance-basefee structures mleto sumisestimates.Performance-basefee structures convert symmetricgross active return stributionsinto asymmetricnet active return stributions, recing variability on theupsi but not the wnsi. a result, a single stanrviationcalculateon a return series thincorporates active returns, above anbelowthe base fee, cleto the unrestimation of wnsi risk. In contrast,fully symmetric fees (fully exposing the manager to both upsi anwnsiresults) tento yielcloser alignment in risk aneffort thbonus-stylefees. 标识部分能否一下，谢谢

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