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manilai · 2022年06月27日

這題對應的是哪個考點？

  1. CFA III
  2. 机构IPS

* 问题详情，请 查看题干

NO.PZ202205190400000101

问题如下：

Frank Grides is a portfolio manager for Kemney University Foundation and manages the liquidity profile of the university endowment. This endowment supports some of the funding for the university’s operations. It applies the following spending policy designed to produce a 5% long-term spending rate while shielding annual distributions from fluctuations in its market value:

Spending for current fiscal year = (60% × Spending for previous fiscal year) + [40% × (5% × Endowment market value at the end of previous fiscal year)].

Grides is considering allocating more funds to illiquid investments to capture higher potential returns and is discussing this strategy with senior analyst Don Brodka. Brodka has three related concerns given that the higher allocation to illiquid investments may

  • reduce the liquidity profile of the endowment,

  • induce “drift” in the portfolio’s risk profile in times of market stress, or

  • alter the endowment’s overall risk profile.

Assessing his concerns, Brodka performs a stress test on the portfolio with both current and proposed investments.

Exhibit 1 presents selected data on the university endowment.

Exhibit 1

Selected Data for Kemney University Endowment



Q. Discuss the relevance of the endowment’s spending policy to Brodka’s expressed concerns.

解释：

Solution

In voicing his concerns, Brodka is cautioning that a higher allocation to illiquid investments may have adverse effects on the endowment’s spending rate and risk profile. Kemney University’s spending policy is an example of a geometric smoothing rule, sometimes called the Yale formula. It is intended to bring about a predictable pattern of distributions for better planning of resource deployment through its programs across varying conditions, even as extreme as the 2008 global financial crisis.

While this spending policy would be consistent with an investment objective of achieving long-term returns that support the spending rate while preserving the value of the endowment in real terms over time, the policy design also incorporates a smoothing, countercyclical element. This leads to lower spending rates in a period of sustained strong investment returns but higher spending rates in a protracted weak return environment.

如題。這題對應的是哪個考點？

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1 个答案

lynn_品职助教 · 2022年06月29日

嗨，从没放弃的小努力你好：


这个考点是endowment’s spending policy，在基础班讲义的110-113页，如下图。视频在基础班private foundations：liabilities and investment horizon1倍速4分钟处。但是答案中提到的geometric smoothing rule是老考纲中的说法（为了避免同学搞混，我就不把内容放在下面了），现在原版书中只在Quinco case里提到了，其实就是hybrid，视频在Case study：Quinco case第一个视频两倍速07:30分处。


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