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坏呼呼嘿嘿 · 2023年04月05日

请问这个五年怎么理解,回答的时候应该怎么表述。

NO.PZ2019100901000015

问题如下:

The Prometheo University Scholarship Endowment (the Endowment) was established in 1950 and supports scholarships for students attending Prometheo University. The Endowment’s assets under management are relatively small, and it has an annual spending policy of 6% of the five-year rolling asset value.

Formulate the investment objectives section of the investment policy statement for the Endowment

选项:

解释:

The mission of the Prometheo University Scholarship Endowment is to provide scholarships for students attending the university. In order to achieve this mission, the Endowment must maintain the purchasing power of the assets in perpetuity while achieving investment returns sufficient to sustain the level of spending necessary to support the scholarship budget. Therefore, the investment objective of the endowment should be to achieve a total real rate of return (after inflation) of at least 6% with a reasonable level of risk.

如题

1 个答案

lynn_品职助教 · 2023年04月07日

嗨,努力学习的PZer你好:


这道题出现的5年是算Spending rate时,给资产取了5年的平均数。


要注意不是投资期。


 it has an annual spending policy of 6% of the five-year rolling asset value.


对于Endowment来说,每年的Spending rate,是基于Asset value的大小的,例如本题每年的支出是基于资产的6%;


我们可以基于上一年的Asset value,这样就是每年的Asset value浮动可能比较大,于是导致Endowment Spending会有较大的波动。


于是,我们可以给过去5年的Asset value取一个移动平均、平滑一下Asset value,这样的话,基于过去5年的Asset value的6%会使得Spending更平顺,避免Spending出现大起大落的花费。

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