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2023-08-12 21:01老師，您好，high incentive fee可以導(dǎo)致收益波動(dòng)增大，為啥，comments的higher fees為啥不對(duì)呢，謝謝啦/題目如下：Noting that MFC has two managers who use the same index as their benchmark, Shaw observes that Fund A and Fund B have similar Active Share and a similar number of positions, but Fund A’s realized active risk of 7% is almost three times greater than that of Fund B. Shaw makes the following comments:/ I think Fund B makes a lot of sector bets./ Fund A likely has higher fees than Fund B / Fund A should have a greater dispersion of returns about the benchmark.
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
開開助教
2023-08-13 10:31
該回答已被題主采納
同學(xué)你好，這題說Fund A和Fund B active share和持股數(shù)量都差不多，但Fund A實(shí)現(xiàn)的active risk是fund B的近3倍。
1、sector bets是指押注于某些板塊，那么基金在板塊的配置權(quán)重方面就會(huì)顯著偏離基準(zhǔn)，導(dǎo)致比較大的active risk 。但這條說fund B maker sector bets是錯(cuò)的，因?yàn)镕und B的active risk是比較低。
2、投資者會(huì)根據(jù)基金的active share的程度去支付管理，active share高表明主動(dòng)管理程度高，因此投資者愿意支付更高的管理費(fèi)。但現(xiàn)在fund A和B的active share是一樣的。因此fund A不太可能收更高的手續(xù)費(fèi)。
3、Fund A 相對(duì)benchmark的收益的離散程度更高，意思就是指Rp-RB的波動(dòng)性更高，這正是active risk的定義。上面說了A的active risk更高，所以這是對(duì)的。
如果答疑對(duì)你有幫助，【請(qǐng)采納】喲~。加油，祝你順利通過考試~
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