解答质量

问题如下：

An customer consider the benefits of allocating to a fund of funds (FoF) or to a multi-strategy fund (MSF). Johnson receives the following email from a member of the customer:

“From my perspective, an FoF is superior even though it entails higher manager-specific operational risk and will require us to pay a double layer of fees without being able to net performance fees on individual managers. I especially like the tactical allocation advantage of FoFs—that they are more likely to be well informed about when to tactically reallocate to a particular strategy and more capable of shifting capital between strategies quickly.”

Based on the email that customer received, the IC member’s perspective is correct with regard to:

选项：

A.

layering and netting of fees

B.

tactical allocation capabilities

C.

manager-specific operational risks

解释：

A is correct. FoFs have double layers of fees without being able to net performance fees on individual managers. The FoF investor always faces netting risk and is responsible for paying performance fees that are due to winning underlying funds while suffering return drag from the performance of losing underlying funds. Even if the FoF’s overall performance (aggregated across all funds) is flat or down, FoF investors must still pay incentive fees that are due to the managers of the winning underlying funds.

The fee structure is more investor friendly at MSFs, where the general partner absorbs the netting risk arising from the divergent performance of the fund’s different strategy teams. This is an attractive outcome for the MSF investor because (1) the GP is responsible for netting risk and (2) the only investor-level incentive fees paid are those due on the total fund performance after netting the positive and negative performances of the various strategy teams.

However, if the MSF operates with a pass-through fee model, the investor will pay for a portion of the netting risk. Using this model, the MSF may charge no management fee but instead pass through the costs of paying individual teams (inclusive of salary and incentives fees earned by each team) before an added manager-level incentive fee is charged to the investor on total fund performance. In this instance, the investor does implicitly pay for a portion of netting risk.

B is incorrect because MSFs have a tactical allocation advantage over FoFs. MSFs can reallocate capital into different strategy areas more quickly and efficiently than is possible in FoFs, allowing MSFs to react faster to real-time market impacts. This shorter tactical reaction time, combined with MSFs’ better strategy transparency, makes MSFs more resilient than FoFs in preserving capital.

C is incorrect because MSFs have higher manager-specific operational risks than FoFs. In MSFs, teams of managers dedicated to running different hedge fund strategies share operational and risk management systems under the same roof. This means that the MSF’s operational risks are not well diversified because all operational processes are performed under the same fund structure. FoFs, in contrast, have less operational risk because each separate underlying hedge fund is responsible for its own risk management.

FoFs 有双重费用，而不能对单个经理进行净绩效费用。 FoF 投资者始终面临净额风险，并负责支付因赢得基础基金而产生的绩效费用，同时因失去基础基金的表现而遭受回报拖累。即使 FoF 的整体表现（所有基金的总和）持平或下降，FoF 投资者仍必须支付由获胜基础基金的经理支付的激励费用。

MSF 的费用结构对投资者更加友好，普通合伙人承担因基金不同策略团队的不同表现而产生的净额结算风险。这对 MSF 投资者来说是一个有吸引力的结果

B不正确，MSF 比 FoF 具有战术分配优势。 MSF 可以比 FoF 更快、更有效地将资本重新分配到不同的战略领域，从而使 MSF 能够更快地对实时市场影响做出反应。 这种更短的战术反应时间，加上 MSF 更好的战略透明度，使得 MSF 在保护资本方面比 FoF 更有弹性。

C 不正确，因为 MSF 比 FoF 具有更高的特定于经理的操作风险。 在 MSF 中，致力于运行不同对冲基金策略的经理团队在同一屋檐下共享运营和风险管理系统。 这意味着 MSF 的操作风险没有很好地分散，因为所有操作流程都在相同的基金结构下进行。 相比之下，FoF 的操作风险较小，因为每个独立的基础对冲基金都负责自己的风险管理