岳同學(xué)
2020-01-14 10:15請(qǐng)問(wèn)Reading 36 課後練習(xí)題中 "18. Which of the following fee structures most likely decreases the volatility of a portfolio's net returns?" A. Incentive fees only B. Management fees only C. Neither incentive fees nor management fees 解答是 A is correct. Because incentive fees are fees charged as a percentage of returns (reducing net gains in positive months and reducing net losses in negative months), its use lowers the standard deviation of realized returns. Charging a management fee (a fixed percentage based on assets) lowers the level of realized return without affecting the standard deviation of the return series. 請(qǐng)問(wèn)當(dāng) Portfolio's returns turn negative 是收不到 incentive fees 的，如何reducing net losses in negative months?
所屬：CFA Level III > Trading, Performance Evaluation, and Manager Selection 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2020-01-15 17:48
該回答已被題主采納
同學(xué)你好，這句是講義的原話
A management fee lowers the level of realized return without affecting the standard deviation, whereas a performance fee has the added effect of lowering the realized standard deviation.
如果有正的業(yè)績(jī)，收了績(jī)效獎(jiǎng)金之后，業(yè)績(jī)就低了，所以這組數(shù)據(jù)的離散程度就變小了，所以標(biāo)準(zhǔn)差就小了。
比如說(shuō)我掙了10%的回報(bào)，但扣了績(jī)效獎(jiǎng)金之后，變成8%，相對(duì)來(lái)說(shuō)8%的離散肯定比10%小，所以標(biāo)準(zhǔn)差降低了。
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追問(wèn)
我知道正回報(bào)的時(shí)候是會(huì)降低performance fees 會(huì)降低STD，但是我的問(wèn)題是解答裡說(shuō)到"reducing net gains in positive months and reducing net losses in negative months"中 "reducing net losses in negative months"這段話。因?yàn)橹皇菃渭円驗(yàn)閜erformance fees 降低STD，就說(shuō)前面那段話就可以了。 謝謝
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追答
同學(xué)你好
因?yàn)槿绻沂展芾碣M(fèi)，無(wú)論有g(shù)ain或loss，我都要收，所以這種情況下，業(yè)績(jī)是負(fù)的，我還是收管理費(fèi)，這樣net loss就更大了。
而如果我只收績(jī)效獎(jiǎng)金，業(yè)績(jī)是負(fù)的時(shí)候是不計(jì)提獎(jiǎng)金的，所以net loss就沒(méi)有這么大，因此STD小。
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