岳同學
2020-01-14 10:15請問Reading 36 課後練習題中 "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. 請問當 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 相關試題
來源： 視頻位置 相關試題
1個回答
Chris Lan助教
2020-01-15 17:48
該回答已被題主采納
同學你好，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，收了績效獎金之后，業(yè)績就低了，所以這組數(shù)據(jù)的離散程度就變小了，所以標準差就小了。
比如說我掙了10%的回報，但扣了績效獎金之后，變成8%，相對來說8%的離散肯定比10%小，所以標準差降低了。
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追問
我知道正回報的時候是會降低performance fees 會降低STD，但是我的問題是解答裡說到"reducing net gains in positive months and reducing net losses in negative months"中 "reducing net losses in negative months"這段話。因為只是單純因為performance fees 降低STD，就說前面那段話就可以了。 謝謝
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追答
同學你好
因為如果我收管理費，無論有gain或loss，我都要收，所以這種情況下，業(yè)績是負的，我還是收管理費，這樣net loss就更大了。
而如果我只收績效獎金，業(yè)績是負的時候是不計提獎金的，所以net loss就沒有這么大，因此STD小。
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