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hyi725 · 2024年07月28日

why

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100001303

问题如下：

Calculate the net active return based on each possible gross active return provided using the selected data in Exhibit A. Show your calculations.

选项：

解释：

Gross Active Return ≤ 0.20%:

Gross Active Return at or below the Base Fee − Base Fee = Net Active Return

0.20 − 0.20 = 0.00

=> Net Active Return ≤ 0.00%

Base Fee = Billed Fee (No Sharing Fee)

0.20

Gross Active Return = 0.75%:

Active Return − Base Fee = Return Subject to Sharing Fee

0.75 − 0.20 = 0.55

Return Subject to Sharing Fee × Sharing Fee = Additional Fee Due to Sharing Fee

0.55 × 0.25 = 0.1375

Base Fee + Additional Fee Due to Sharing Fee = Billed Fee

0.20 + 0.1375 = 0.3375

Active Return − Billed Fee = Net Active Return

0.75 − 0.3375 = 0.4125, rounded to 0.41%

Gross Active Return = 1.25% is the breakeven active return (No Sharing Fee):

Gross Active Return − Standard Fee = Net Active Return

1.25 − 0.35 = 0.90 or 0.90%

Standard Fee = Billed Fee (No Sharing Fee)

0.35

Gross Active Return = 1.75%:

Gross Active Return − Base Fee = Return Subject to Sharing Fee

1.75 − 0.20 = 1.55

Return Subject to Sharing Fee × Sharing Fee = Additional Fee Due to Sharing Fee

1.55 x 0.25 = 0.3875

Base Fee + Additional Fee Due to Sharing Fee = Billed Fee

0.2 + 0.3875 = 0.5875

Gross Active Return − Billed Fee = Net Active Return

1.75 − 0.5875 = 1.1625, rounded to 1.16%

Gross Active Return = 1.25% is the breakeven active return (No Sharing Fee):

Gross Active Return − Standard Fee = Net Active Return

1.25 − 0.35 = 0.90 or 0.90%

Standard Fee = Billed Fee (No Sharing Fee)

0.35


为什么breakeven没有 Sharing Fee？


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1 个答案

吴昊_品职助教 · 2024年07月29日

嗨，努力学习的PZer你好：


这道题原本书给出的答案是有问题的，按老师上课的说法来做就可以了。

当Gross Active Return=1.25%的时候，是有sharing的。具体来说：0.2%+0.25*(1.25%-0.2%)=0.4625

Net Active Return=1.25-0.4625=0.7875

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努力的时光都是限量版，加油！

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NO.PZ202110280100001303 问题如下 Calculatethe net active return baseon eapossible gross active return proviusingthe selecteta in Exhibit Showyour calculations. GrossActive Return ≤ 0.20%:Gross Active Return or below the Base Fee − Base Fee = Net ActiveReturn0.20 − 0.20 = 0.00= Net Active Return ≤ 0.00%Base Fee = BilleFee (No Sharing Fee)0.20GrossActive Return = 0.75%:Active Return − Base Fee = Return Subjeto Sharing Fee0.75 − 0.20 = 0.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee0.55 × 0.25 = 0.1375Base Fee + AitionFee e to Sharing Fee = BilleFee0.20 + 0.1375 = 0.3375Active Return − BilleFee = Net Active Return0.75 − 0.3375 = 0.4125, rounto 0.41%GrossActive Return = 1.25% is the breakeven active return (No Sharing Fee):Gross Active Return − StanrFee = Net Active Return1.25 − 0.35 = 0.90 or 0.90%StanrFee = BilleFee (No Sharing Fee)0.35GrossActive Return = 1.75%:Gross Active Return − Base Fee = Return Subjeto Sharing Fee1.75 − 0.20 = 1.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee1.55 x 0.25 = 0.3875Base Fee + AitionFee e to Sharing Fee = BilleFee0.2 + 0.3875 = 0.5875Gross Active Return − BilleFee = Net Active Return1.75 − 0.5875 = 1.1625, rounto 1.16% 老师，表格里给的数据单位给的都是%，但实际我们知道哪个sharing不可能是0.25%，而就是0.25； 所以题目这里是表述的不严谨吗？那如果考试遇到这种情况，我们是默认sharing比例是0.25还是0.25(%）？

2024-05-12 11:52 1 · 回答

NO.PZ202110280100001303 问题如下 Calculatethe net active return baseon eapossible gross active return proviusingthe selecteta in Exhibit Showyour calculations. GrossActive Return ≤ 0.20%:Gross Active Return or below the Base Fee − Base Fee = Net ActiveReturn0.20 − 0.20 = 0.00= Net Active Return ≤ 0.00%Base Fee = BilleFee (No Sharing Fee)0.20GrossActive Return = 0.75%:Active Return − Base Fee = Return Subjeto Sharing Fee0.75 − 0.20 = 0.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee0.55 × 0.25 = 0.1375Base Fee + AitionFee e to Sharing Fee = BilleFee0.20 + 0.1375 = 0.3375Active Return − BilleFee = Net Active Return0.75 − 0.3375 = 0.4125, rounto 0.41%GrossActive Return = 1.25% is the breakeven active return (No Sharing Fee):Gross Active Return − StanrFee = Net Active Return1.25 − 0.35 = 0.90 or 0.90%StanrFee = BilleFee (No Sharing Fee)0.35GrossActive Return = 1.75%:Gross Active Return − Base Fee = Return Subjeto Sharing Fee1.75 − 0.20 = 1.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee1.55 x 0.25 = 0.3875Base Fee + AitionFee e to Sharing Fee = BilleFee0.2 + 0.3875 = 0.5875Gross Active Return − BilleFee = Net Active Return1.75 − 0.5875 = 1.1625, rounto 1.16% 如题。以及，为什么这里的stanrfee不是base fee和mfee的平均数0.55，而是0.35？

2023-07-14 14:46 2 · 回答

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2023-06-28 19:35 1 · 回答

NO.PZ202110280100001303 问题如下 Calculatethe net active return baseon eapossible gross active return proviusingthe selecteta in Exhibit Showyour calculations. GrossActive Return ≤ 0.20%:Gross Active Return or below the Base Fee − Base Fee = Net ActiveReturn0.20 − 0.20 = 0.00= Net Active Return ≤ 0.00%Base Fee = BilleFee (No Sharing Fee)0.20GrossActive Return = 0.75%:Active Return − Base Fee = Return Subjeto Sharing Fee0.75 − 0.20 = 0.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee0.55 × 0.25 = 0.1375Base Fee + AitionFee e to Sharing Fee = BilleFee0.20 + 0.1375 = 0.3375Active Return − BilleFee = Net Active Return0.75 − 0.3375 = 0.4125, rounto 0.41%GrossActive Return = 1.25% is the breakeven active return (No Sharing Fee):Gross Active Return − StanrFee = Net Active Return1.25 − 0.35 = 0.90 or 0.90%StanrFee = BilleFee (No Sharing Fee)0.35GrossActive Return = 1.75%:Gross Active Return − Base Fee = Return Subjeto Sharing Fee1.75 − 0.20 = 1.55Return Subjeto Sharing Fee × Sharing Fee = AitionFee e toSharing Fee1.55 x 0.25 = 0.3875Base Fee + AitionFee e to Sharing Fee = BilleFee0.2 + 0.3875 = 0.5875Gross Active Return − BilleFee = Net Active Return1.75 − 0.5875 = 1.1625, rounto 1.16% 如题

2023-06-06 23:54 1 · 回答