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换名如换刀 · 2025年05月06日

为什么1.75%的时候不用standard fee呢

  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.

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%

既然1.25%时因为breakeven price的存在，直接使用standard fee进行计算，那么为何在1.75%的时候又不用standard fee呢？

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1 个答案

王暄_品职助教 · 2025年05月06日

在1.25%的Gross Active Return时使用Standard Fee（0.35%）计算，是因为题目中明确说明1.25%是"Breakeven Active Return"（盈亏平衡点），此时Manager的收费模式切换为标准费率，不再适用"Base Fee + Sharing Fee"的分档计费方式。


而在1.75%时，由于Gross Active Return（1.75%）超过了Breakeven Active Return（1.25%），此时重新触发"Base Fee（0.20%）+ Sharing Fee（超额部分的25%）"的分档计费规则。因此需要先扣除Base Fee，再对剩余部分（1.55%）计算Sharing Fee，最终合计收费0.5875%，而非直接使用Standard Fee。


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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% Gross Active Return ≤ 0.20%:0.20 − 0.20 = 0.00Net Active Return ≤ 0.00%Gross Active Return = 0.75%0.2%+0.25*(0.75%-0.2%)=0.34%Net Active Return =0.41%Gross Active Return = 1.25%Net Active Return =1.25% − 0.35 %= 0.90%Gross Active Return = 1.75%0.2%+(1.75 %-0.2%)x 0.25 = 0.59%Net Active Return =1.75% − 0.59%= 1.16%

2025-03-23 11:43 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% 为什么超过breakeven就使用stanrfee？

2025-01-21 14:11 1 · 回答

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2024-07-28 17:12 1 · 回答

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2024-05-12 11:52 1 · 回答