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mandy · 2024年11月13日

考试应该回答哪些点

  1. CFA III
  2. Trading&Performance

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.

解释：

请问下老师，如果是考试的话，这道题应该回答到哪些点可以得分呢？答案里还举了个例子

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已采纳答案

吴昊_品职助教 · 2024年11月13日

嗨，从没放弃的小努力你好：


原版书给出的答案比较冗长，我们不需要写这么多。

Carpenter Management has a bonus-style fee with a maximum fee feature. Bonus-style fees are the close equivalent of a manager’s call option on a share of active return. Hidden Lake has a symmetrical fee structure in which the manager is fully exposed to both the downside and upside.

So Carpenter Management’s fee structure is most similar to a call option.

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加油吧，让我们一起遇见更好的自己！

mandy · 2024年11月14日

谢谢老师～

吴昊_品职助教 · 2024年11月14日

嗨，努力学习的PZer你好：


不谢~

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努力的时光都是限量版，加油！

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