" for any given level of net returns, its portion of fees will by definition be higher if all portfolio managers generate no worse that 0 performance over the period than it would be if some portfoilio managers generated losses"
Is not it backwards?
Assume a portfolio of 100m, slit into two 50m portfolio, each managers gets 10% of the returns
case A: manager a earns 10%, ie 5 million, he gets 0.5 out of it, and manager b earns 5 million and he gets 0.5 out of it, net return is 9/100 is 9%
case B: manager A losses 10% ie 5 million, he gets nothing, manager B earns 20% ie 15 million and he gets 1 million 1.5 out of it, net return is 8.5/100 =8.5%
so the fees were lower in the case of all above zero performance, which is the opposite of what cfa sais, what am i missing?