NO.PZ2018110601000024
问题如下:
The SH University Endowment is a very large tax-exempt fund financed from students’ tuition fee, with the current strategic asset allocations presented below.
The manager of Endowment forecast the expected excess return of each asset class. In order to capture the short-term return opportunities, the Endowment can:
选项:
A.increase the allocation of private equity to 15% and decrease the allocation of real estate to 5%.
B.increase the allocation of small-cap equities to 32% and decrease the allocation of large-cap equities to 38%
C.decrease the allocation of large-cap equities to 40% and increase the allocation of short-term bonds to 12%.
解释:
A is correct.
考点:tactical asset allocation
解析:应当增加excess return高的资产比重,降低excess return低的资产比重。但是权重变化不能超过target weight的上下限。
另外,如果选择里显示了超过了上下限(比如small cap32%超过了30%),是否可以作为排除的根本原因?