为什么fof比multi-strategy HF有更低的operational risk?

问题如下：

The IC has been considering the benefits of allocating to a fund of funds (FoF) or to a multi-strategy fund (MSF). Mukilteo receives the following email from a member of the IC:

“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 Mukilteo 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.