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JYJY · 2022年08月08日

allocation 1 的cash为什么不能hedge

  1. CFA III
  2. Asset Allocation

NO.PZ2018031301000005

问题如下：

Viktoria Johansson is newly appointed as manager of ABC Corporation’s pension fund. The current market value of the fund’s assets is $10 billion, and the present value of the fund’s liabilities is $8.5 billion. The fund has historically been managed using an asset-only approach, but Johansson recommends to ABC’s board of directors that they adopt a liability-relative approach, specifically the hedging/return-seeking portfolios approach. Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. Exhibit 1 presents three potential asset allocation choices for the fund.

Exhibit 1 Potential Asset Allocations Choices for ABC Corp’s Pension Fund


Determine which asset allocation in Exhibit 1 would be most appropriate for Johansson given her recommendation. Justify your response.

选项：

解释：

■ Allocation 3 is most appropriate.
■ To fully hedge the fund’s liabilities, 85% ($8.5 billion/$10.0 billion) of the fund’s assets would be linked to index-linked government bonds.
■ Residual $1.5 billion surplus would be invested into a return-seeking portfolio.

The pension fund currently has a surplus of $1.5 billion ($10.0 billion – $8.5 billion). To adopt a hedging/return-seeking portfolios approach, Johansson would first hedge the liabilities by allocating an amount equal to the present value of the fund’s liabilities, $8.5 billion, to a hedging portfolio. The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities, which in this case are the index-linked government bonds.

So, Johansson should allocate 85% ($8.5 billion/$10.0 billion) of the fund’s assets to index-linked government bonds. Te residual $1.5 billion surplus would then be invested into a return-seeking portfolio. Therefore, Allocation 3 would be the most appropriate asset allocation for the fund because it allocates 85% of the fund’s assets to index-linked government bonds and the remainder to a return seeking portfolio consisting of corporate bonds and equities.

cash+bond加在一起也是85%为什么不可以？是因为pension时间长放在cash不划算吗？

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已采纳答案

lynn_品职助教 · 2022年08月09日

嗨，努力学习的PZer你好：


对，问题出在cash没错，可以说成是“不划算”，其实就是cash没有抗通胀的能力，因为我们需要cover liability，hedging portfolio的影响因素应当与liability的影响因素相同。原文说 Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. 也就是说能够很好地匹配liabilities的是 index-linked government，index-linked government 通常是与CPI指数挂钩的，也就是说可以抗通胀，cash虽然很稳健但是抗不了通胀。另外，既然是债券，定期是可以拿到coupon的，投资cash没有coupon，不能跟fund liability的现金流相匹配。因此虽然加上等于85%，但是并不适合。

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