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月之流离 · 2022年12月13日

Real-World Constraints- 如何区别goals/constraints/beliefs?

Phase 4 (2014–Present)

The fund’s management felt that the significant decline in oil prices since mid-2014 and lowered production levels were likely to persist through several business cycles, requiring a change in strategy to maintain the long-term objectives of the funds. They sought government approval for lower withdrawals from the fund, higher equity exposure, and the flexibility to vary asset class policy weights by as much ±5% for each asset class from the static weights that had previously existed. The government reaffirmed its commitment to the fund given in Phase 3, and legislative approval was received for these changes, including the ability to increase public equity exposure to 65% and reduce investment-grade bond exposure to as little as 7.5%. Of the remaining authorized assets, no one asset class could have a weight in excess of 10%.


The changes that were allowed in OHF’s strategic asset allocation in Phase 4 are best classified as relating to changes in:

  1. constraints.
  2. beliefs.
  3. goals.


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lynn_品职助教 · 2022年12月13日

嗨,努力学习的PZer你好:


这个知识点在下图中,虽然书上讲得比较简略,但是这些定义还是比较清楚的至于碰到具体的题目时,感觉判断不准这一点

一方面需要我们在做题中积累,一方面在考场上碰到的时候需要仔细读题干。

 

Goal是指基金的目标,不同类型的机构投资者目标不同,比如养老金的目标是cover liability,SWF的目标是可能是保持资产购买力永远不变等等,题干并没有提到fund目标的改变,所以C选项不正确。


Constraints指投资中的各种现值,比如投资期、流动性等等,题干也没有提到sponsor对基金投资期、流动性等限制的改变,所以A也不对。


Belief是指投资过程中环境发生变化,使得基金经理的资本市场预期发生变化,进而使得资产配置的调整。

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努力的时光都是限量版,加油!

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