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：
Carpenter Managemt is most similar to a call option on a share of active return.
The base fee is like a strike fee, Carpenter Managemt plus a long call option with a strike price equal to the base fee and then minus another call option with a strike price equal to the maximum fee.
顺便追问：我觉得**那部分，sharing,active return ,beyond base fee。大家都不会想到亏损的点。拿Lake来说,比如我现在(0.2%-0.3%),我这部分为负，就需要sharing。书上的bouns structure，举例指的是max(base,base +sahring of positive performance)。而这里Lake的base fee没有minimum。如果Lake是书上描述的max(base,base +sahring of positive performance)，那更类似call option.
