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yan · 2024年11月19日

标识部分能否解释一下，谢谢

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100001302

问题如下：

Discuss how Smith’s stated expectation would be reflected in estimated portfolio risk under the fee structure identified by Porter.

选项：

解释：

Under the fee structure identified by Porter, Smith’s stated expectation would be reflected in a misestimation of portfolio risk because performance-based fee structures may lead to such misestimates. Performance-based fee structures convert symmetrical gross active return distributions into asymmetrical net active return distributions, reducing variability on the upside but not the downside. As a result, a single standard deviation calculated on a return series that incorporates active returns, above and below the base fee, can lead to the underestimation of downside risk. In contrast, fully symmetric fees (fully exposing the manager to both upside and downside results) tend to yield closer alignment in risk and effort than bonus-style fees.

标识部分能否解释一下，谢谢


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吴昊_品职助教 · 2024年11月19日

嗨，爱思考的PZer你好：


1、结论是：incentive fee费用结构是不对称的，低估了下跌风险。

这个结论可以这么理解，upside的波动率下降，downside的波动率不变，那我们平均波动率是下降的。如果我们用更小的平均波动率来衡量downside risk，那我们就低估了下降风险。

2、关于答题，我们只需要答到incentive fee费用结构是不对称的，低估了下跌风险。

即Performance-based fee structures may lead to the underestimation of downside risk, reducing variability on the upside but not the downside.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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