gross active return---> symmetric
fee structures--->asymmetric
=>net active return distribution is asymmetrical
reduce variability on the upside but not the downside
以上都理解
但是后半段就不理解了
as a result, a single standard deviation calculated on a return series that incorporates active returns, above and below the base fee<------理解的
can lead to the underestimate of downside risk<------这句话就听不懂了，虽然李老师强调过，但还是不大理解。他说正态分布下，sigma 应该是左右对称的，现在return上升，sigma下降（因为PM拿走费用会承担一部分risk), sigma下降大于平均。-----> 什么叫 sigma下降大于平均？，还有什么叫sigma上升又小于平均呢？
谢谢老师解答
