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mingm1n9 · 2023年06月30日

symmetric fee structure

NO.PZ2022122701000054

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.

解释:

Correct Answer:

怎么看出Hidden Lake是对称的呢

2 个答案

笛子_品职助教 · 2024年08月02日

嗨,努力学习的PZer你好:


所以是不是如果亏钱时不需要赔钱的,题目中会明确说明,sharing only apply on positive return?

是的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2023年07月03日

嗨,爱思考的PZer你好:


怎么看出Hidden Lake是对称的呢


Hello,亲爱的同学~

根据表格,我们看出来,sharing = 15%*(active return - base fee)。

这里并没有说明,sharing必须大于0。

如果active return为负数,基金经理需要共担亏损。

而且Hidden lake无上限,收益风险对等,也无下限。

这和carpenter有上限因此也有下限的,不一样。

因此,Hidden lake是对称结构。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

rickyjoy · 2024年08月01日

所以是不是如果亏钱时不需要赔钱的,题目中会明确说明,sharing only apply on positive return?

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相关问题

NO.PZ2022122701000054 问题如下 a meeting for the locmunicippension fun a group of beneficiaries expresseconcern about current investment management fees. The beneficiaries askethe Investment Committee for a fee summary of eamanager in the portfolio.The next y, a pension funstmember briefethe Committee on the managers’ full contractefee scheles. The Committee wsurpriseto heththe managers work unr numerous fferent fee structures anrates. A sample of these fee scheles for two managers is proviin Exhibit 1:In explaining the fferences, the stmember saithfee structuresmleto misestimates of portfolio risk. She also notethatperformance-basefees sometimes are a close equivalent to a manager’s calloption on active return. Intify whimanager’s fee structure is mostsimilto a call option on a share of active return. Justify your selection. CorreAnswer: 如题。

2023-08-19 14:16 1 · 回答

NO.PZ2022122701000054 问题如下 a meeting for the locmunicippension fun a group of beneficiaries expresseconcern about current investment management fees. The beneficiaries askethe Investment Committee for a fee summary of eamanager in the portfolio.The next y, a pension funstmember briefethe Committee on the managers’ full contractefee scheles. The Committee wsurpriseto heththe managers work unr numerous fferent fee structures anrates. A sample of these fee scheles for two managers is proviin Exhibit 1:In explaining the fferences, the stmember saithfee structuresmleto misestimates of portfolio risk. She also notethatperformance-basefees sometimes are a close equivalent to a manager’s calloption on active return. Intify whimanager’s fee structure is mostsimilto a call option on a share of active return. Justify your selection. CorreAnswer: 老李的讲解没听明白,我看了几个答疑之后,想到的,麻烦老师帮我确认一下。Hien lake的话,是有0.3%的base fee,然后这个15%,没有写minimum,如果收益低于0.3%,那就要付出一定的钱,那其实这个的图形,就是一条直线,和股票一样,做得好就是多拿,做的不好还要倒贴。一条直线,所以是对称的。那Carpenter,是写了0.18%是minimum fee,那就是如果它的收益是低于0.18%的,它就不用付钱,最低不管怎么样都能拿到0.18%,然后超过base fee的部分,就可以拿到20%的提成,但是如果太多了,它也就只能拿到0.8%的收益。那这个图形,其实是一个collar的图形吧?就是有下限,也有上限。但这个不也是对称的吗?(就旋转180°,他们不就一样了吗?因为那个直线,也是旋转180°一样呀?)那这样的话,不对称结构才是call option,就都不是了呀。。。(其实我当时的理解是,call option,就是收益率有下限,没有上限,但是两个好像都不符合,因为hien lake会亏,然后carpenter有上限。)所以,老师你看下我的理解错在哪里。谢谢。

2023-08-03 15:44 3 · 回答

NO.PZ2022122701000054 问题如下 a meeting for the locmunicippension fun a group of beneficiaries expresseconcern about current investment management fees. The beneficiaries askethe Investment Committee for a fee summary of eamanager in the portfolio.The next y, a pension funstmember briefethe Committee on the managers’ full contractefee scheles. The Committee wsurpriseto heththe managers work unr numerous fferent fee structures anrates. A sample of these fee scheles for two managers is proviin Exhibit 1:In explaining the fferences, the stmember saithfee structuresmleto misestimates of portfolio risk. She also notethatperformance-basefees sometimes are a close equivalent to a manager’s calloption on active return. Intify whimanager’s fee structure is mostsimilto a call option on a share of active return. Justify your selection. CorreAnswer: 之前的回答都没到位啊第一个费用结构看不出亏了要赔钱。还有一个延伸问题如果两个都是保底加盈利有奖金亏了不赔钱的结构,那更像看涨期权的应该是没有封顶的对不对?

2023-07-24 11:19 1 · 回答

NO.PZ2022122701000054 问题如下 a meeting for the locmunicippension fun a group of beneficiaries expresseconcern about current investment management fees. The beneficiaries askethe Investment Committee for a fee summary of eamanager in the portfolio.The next y, a pension funstmember briefethe Committee on the managers’ full contractefee scheles. The Committee wsurpriseto heththe managers work unr numerous fferent fee structures anrates. A sample of these fee scheles for two managers is proviin Exhibit 1:In explaining the fferences, the stmember saithfee structuresmleto misestimates of portfolio risk. She also notethatperformance-basefees sometimes are a close equivalent to a manager’s calloption on active return. Intify whimanager’s fee structure is mostsimilto a call option on a share of active return. Justify your selection. CorreAnswer: 1

2023-07-23 10:04 2 · 回答