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WOO2019 · 2022年11月05日

这题是机构ips的课后题？liquid、semi-liquid、illquid，这考的哪儿啊？课后题的视频里也没讲这个题啊？

  1. CFA III
  2. 机构IPS

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NO.PZ202205190400000202

问题如下：

The investment committee also asks Bookman to investigate whether the endowment should increase its allocation to illiquid investments to take advantage of higher potential returns. The endowment’s liquidity profile policy stipulates that at least 30% of investments must be classified as liquid to support operating expenses; no more than 40% should be classified as illiquid. Bookman decides to perform a bottom-up liquidity analysis to respond to the committee.

Q. Discuss the elements of Bookman’s analysis and the conclusions he will draw from it.

选项：

解释：

Solution

To operationalize the concepts represented in the liquidity budget, it is appropriate to analyze the underlying liquidity characteristics of the portfolio investments and monitor these characteristics over time. The analysis should look beyond the broad definition of asset classes to the underlying investments used for exposure as different investments within the same asset class may have very different liquidity profiles.

In performing a bottom-up liquidity analysis on the State Tech endowment, Bookman multiplies each asset class allocation by its matching liquidity classification and then aggregates across asset classes. Based on this analysis, 44.5% of investments are currently classified as liquid and 28.5% are classified as illiquid, calculated as follows:Investments classified as liquid = (Cash allocation × %Liquid) + (Fixed-income allocation × %Liquid) + (Public equity allocation × %Liquid) Investments classified as liquid = (1% × 100%) + (24% × 100%) + (39% × 50%) = 44.5%. Investments classified as illiquid = (Private equity allocation × %Illiquid) + (Real asset allocation × % Illiquid) Investments classified as illiquid = (21% × 100%) + (15% × 50%) = 28.5%.

The liquid investment allocation of 44.5% is well above the 30% liquid requirement, and the 28.5% illiquid investment allocation is well below the 40% illiquid limit. As a result, there is enough capacity to re-allocate more funds from liquid investments into illiquid investments to take advantage of the higher potential returns. Thus, Bookman can recommend that shift.

这题是机构ips的课后题？liquid、semi-liquid、illquid，这考的哪儿啊？课后题的视频里也没讲这个题啊？

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1 个答案

lynn_品职助教 · 2022年11月08日

嗨，努力学习的PZer你好：


这是Reading 28 ■ Case Study in Portfolio Management: Institutional的一道课后题，视频在原版书习题课Case Study in Risk Management: Institutional Q1~2的第二道题，我看了一下2023.02考期的课程似乎还没有更新到case study的视频课，这个知识点非常“独立”也很怪异，同学稍微看一下就行。

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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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NO.PZ202205190400000202 问题如下 Theinvestment committee also asks Bookmto investigate whether the enwmentshoulincrease its allocation to illiquiinvestments to take aantage ofhigher potentireturns. The enwment’s liquity profile polistipulatesthleast 30% of investments must classifieliquito supportoperating expenses; no more th40% shoulclassifieilliqui Bookmancis to perform a bottom-up liquity analysis to responto the committee.Q. scuss the elements of Bookman’s analysis anthe conclusions he will from it. SolutionTo operationalize the concepts representein the liquity buet, it is appropriate to analyze the unrlying liquity characteristiof the portfolio investments anmonitor these characteristiover time. The analysis shoullook beyonthe brofinition of asset classes to the unrlying investments usefor exposure fferent investments within the same asset class mhave very fferent liquity profiles.In performing a bottom-up liquity analysis on the State Teenwment, Bookmmultiplies eaasset class allocation its matching liquity classification anthen aggregates across asset classes. Baseon this analysis, 44.5% of investments are currently classifieliquian28.5% are classifieilliqui calculatefollows:Investments classifieliqui= (Cash allocation × %Liqui + (Fixeincome allocation × %Liqui + (Public equity allocation × %Liqui Investments classifieliqui= (1% × 100%) + (24% × 100%) + (39% × 50%) = 44.5%. Investments classifieilliqui= (Private equity allocation × %Illiqui + (Reasset allocation × % Illiqui Investments classifieilliqui= (21% × 100%) + (15% × 50%) = 28.5%.The liquiinvestment allocation of 44.5% is well above the 30% liquirequirement, anthe 28.5% illiquiinvestment allocation is well below the 40% illiquilimit. a result, there is enough capacity to re-allocate more fun from liquiinvestments into illiquiinvestments to take aantage of the higher potentireturns. Thus, Bookmcrecommenthshift. 请问这是基础班讲义上的哪一个考点？

2022-08-16 17:45 1 · 回答