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简ying · 2022年09月24日

cash equivalent fund的投资比例问题

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NO.PZ201805280100000402

问题如下:

The Fordhart portfolio has a market value of $2 billion. After his annual meeting

with its investment committee, DuBord notes the following points:

Fordhart must spend 3% of its beginning-of-the-year asset value annually to meet legal obligations.

The investment committee seeks exposure to private equity investments and requests that DuBord review the CFQ Private Equity Fund as a potential new investment.

Enrollment is strong and growing, leading to increased operating revenues from tuition.

A recent legal settlement eliminated an annual obligation of $50 million from the portfolio to support a biodigester used in the university’s Center for Renewable Energy. \

DuBord instructs his second junior analyst to formulate new allocations for

Fordhart. This analyst proposes the allocation presented in Exhibit 2.

Discuss two reasons why the proposed asset allocation is inappropriate for Fordhart.

解释:

The proposed asset allocation for Fordhart is inappropriate because:

1 Given the increasing enrollment trends and recent favorable legal settlement, Fordhart will likely require lower liquidity in the future. The proposed allocation shifts Fordhart’s portfolio away from risky assets (decreases the relative equity holdings and increases the relative bond holdings).

2 The proposed 10% allocation to private equity creates an overly concentrated position in the underlying investment. A 10% allocation to the CFQ Private Equity Fund is $200 million (10% of Fordhart’s $2 billion). The CFQ Private Equity Fund has assets under management (AUM) of $500 million. Hence, Fordhart would own 40% of the entire CFQ Private Equity Fund. This position exposes both Fordhart and the CFQ fund to an undesirable level of operational risk.

考虑每年需要对外投资基金价值的3%,cash equivalent fund投资比例只要2%,是不是因为投资级别债券能够提供同样的流动性?

1 个答案
已采纳答案

lynn_品职助教 · 2022年09月26日

嗨,努力学习的PZer你好:


考虑每年需要对外投资基金价值的3%,cash equivalent fund投资比例只要2%,是不是因为投资级别债券能够提供同样的流动性?


是的,3%的spending rate表明F portfolio需要流动性,而且是法律要求,因此应该配置流动性好的资产,但是不一定要求全是现金等价物。不仅是投资级别的债券能提供相同的流动性,这些资产的收入也可以作为3%的来源,当然了流动性好的equity、bond也是可以的。

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努力的时光都是限量版,加油!

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