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KKII · 2024年12月29日

这道题能答基金经理由动机投资更激进吗，所以下行风险更大

  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.

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.

the manager has motivation to increase the portfolio volatility by bear more risk and invest more aggressive.

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王暄_品职助教 · 2024年12月29日

可以的，这道题中可以提到基金经理有动机投资更激进，从而导致下行风险更大。因为绩效费结构（如Porter所指的）往往让基金经理在追求更高收益时承担更多风险，以期望获得更高的奖金。这种激励机制可能导致基金经理采取更激进的投资策略，进而增加投资组合的波动性，特别是下行风险。所以，你的理解是正确的，基金经理确实有动机因为绩效费结构而投资更激进，从而加大下行风险。

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