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.
选项：
解释：
Correct Answer:
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。
Hidden 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hidden 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。
）就是不对称。费用的对称和不对称，本就是基于基金经理的角度。客户亏了钱，基金经理要共担损失，就是对称。客户亏了钱，基金经理不用共担损失，就是不对称。