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李晨 · 2022年08月18日

抓短期机会,该如何考虑PE作为长期且流动性差的问题?

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?

2 个答案

lynn_品职助教 · 2022年08月19日

嗨,从没放弃的小努力你好:


tactical asset allocation是指抓住短期的市场机会而做的资产分配,首先在这一步我们是调整资产配置,在SAA之外提供一定的灵活性,至于同学的问题是从为客户筛选投资的asset class类别出发的,如果客户的IPS显示适合短期,流动性需求高,那么就不应该配置PE。从这个角度来看我们不需要考虑这个问题。

其次,确实我们做TAA时,有一定的成本,在这里调PE的成本肯定会来自于它流动性差,既然仍决定做,肯定是短期机会带来的return要大于这个成本。

最后,同学追问的内容我也差点没看到,以后为了更快的能解决同学的疑问,请把问题放在一个地方吧。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

lynn_品职助教 · 2022年08月19日

嗨,从没放弃的小努力你好:


可以的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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