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IanZQ · 2023年06月24日

而hidden基金没有上下限,是对称的。

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:

从哪里看得出来hidden基金没有上下限,是对称的。SHARING那里不是写了,BEYOND BASE FEE么,所以我理解要收SHAREING是必须大于BASE FEE的,所以HIDDEN基金也没办法扣除负的收益,也不是对称的啊。



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笛子_品职助教 · 2023年06月25日

嗨,努力学习的PZer你好:


从哪里看得出来hidden基金没有上下限,是对称的。SHARING那里不是写了,BEYOND BASE FEE么,所以我理解要收SHAREING是必须大于BASE FEE的,所以HIDDEN基金也没办法扣除负的收益,也不是对称的啊。


Hello,亲爱的同学~

BEYOND BASE FEE是指,share的部分,是active return - base fee。

这里并没有说,active retrn 必须大于base fee才会share,并没有这个含义的。


举例来说

active return 是-1%

那么基金经理就需要负担:30% *(-1%-0.3%),与客户共担损失。

这也是

----------------------------------------------
努力的时光都是限量版,加油!

Stella · 2024年06月21日

这条解答应该放到答案解析里,大家选错大概率都是觉得hidden是不承担亏损部分的收益的,不然也不至于提那么多问题。

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