NO.PZ202206210100000303
问题如下：
Which of Radell’s statements regarding asset allocation Option 1 is most appropriate?
选项：
A.Statement 1 B.Statement 2 C.Statement 3解释：
C is correct. Statement 3 is most appropriate. The 20% allocation to emerging market equity is too high given the company’s goals and objectives and the sensitivity of revenues to the African economy. A weak emerging market economic environment is likely to stress the pension fund’s investment in emerging market equity and its revenue from its emerging market business simultaneously. Thus, the high volatility of emerging market equity, its limited diversification potential relative to global equity, and the sensitivity of the firm’s revenues to emerging market economies make a large, over-weighted allocation to the asset class inconsistent with the firm’s objective of minimizing fluctuations in year-to-year required contributions.
A
is incorrect. The Sharpe ratios for the current allocation, Option 1, and
Option 2 are 0.17, 0.19, and 0.175, respectively, with Option 1 having the
highest Sharpe ratio. The Sharpe ratio, while providing a means to rank choices
on the basis of return per unit of volatility, does not capture other
characteristics that are important to Sabonete, such as funded ratio, time
horizon, and predictability of contributions.
B
is incorrect. Sabonete’s land holdings outside of the pension fund are not
considered a part of the extended balance sheet for the SPP and should not
affect its asset allocation decisions.
Sabonete’s recent
acquisition of land in Africa are outside of the pension fund and, therefore,
should not be considered a part of the extended balance sheet for the SPP and
should not affect its asset allocation decisions.
题干中有一句话：However, given the firm’s familiarity with and the opportunities they perceive in emerging markets, the SPP has historically been over-weighted (25%) in this asset class. SPP过去在emerging market有过25%比例的投资，且对新兴市场很熟悉，那为什么不能在新兴市场投20%呢？
