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程冠林 · 2024年12月21日

答案里关于strike price的解释理解？

  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.

选项：

解释：

答案里说strike price是18bp加上一个数再减去一个数？

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1 个答案

王暄_品职助教 · 2024年12月21日

答案中的描述并没有直接说“strike price是18bp加上一个数再减去一个数”。这里的描述是关于如何理解Carpenter Management的奖金式费用结构与一个经理对主动回报份额的看涨期权之间的相似之处。

在这个比喻中：

  • 基础费用（base fee） 被视为看涨期权的执行价格（strike price）。在Carpenter Management的例子中，这个基础费用是18个基点（bps）。
  • 当主动回报超过这个基础费用时，经理会获得额外的奖金，这类似于看涨期权的持有者在资产价格超过执行价格时行使期权并获得利润。
  • 答案中提到的“加上一个数再减去一个数”的表述，并不是直接描述strike price的计算方式，而是在解释奖金式费用结构如何与看涨期权相似时的一种抽象描述。具体来说，它指的是：如果主动回报很高，经理会获得基于高额主动回报的奖金（这相当于“加上一个数”，即高额主动回报带来的额外奖金）；但是，这个奖金有一个上限（即最大费用特征），当主动回报达到某个水平后，即使再增加，经理也不会获得更多奖金（这相当于“减去一个数”，即超过最大费用后的部分不再计入奖金）。
  • 而Hidden Lake的费用结构是对称的，无论主动回报是正是负，经理都会承担相应的风险或收益，这与看涨期权只关注资产价格上升的特性不同。


因此，在比较两者时，答案指出Carpenter Management的费用结构（特别是其奖金式费用和最大费用特征）更类似于一个经理对主动回报份额的看涨期权。这里的“strike price”仅指基础费用，即18个基点，并没有涉及“加上一个数再减去一个数”的直接计算。

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