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Persey · 2023年07月29日

这个题目是套用哪一个知识点？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000008

问题如下：

A few months later, Carson receives a phone call from Hamidah. She’s now on the board of trustees of Artic Foundation for Medical Research (AFMR). AFMR was established to support various medical research initiatives. She is very excited and asks Carson to help identify the return objective of AFMR’s portfolio. Osaka notes the following:

• AFMR’s overall investment objective is to maintain its portfolio’s real purchasing power after distributions.

• The risk-free rate is 4.0%.

• An expected inflation rate is 3.5%.

• The portfolio’s standard deviation is 15.0%.

• The cost of earnings investment returns is 50 bp.

• AFMR targets a 5.5% annual distribution of assets.

AFMR’s return objective is closest to: (2020 mock PM)

选项：

A.

9.50%

B.

9.74%

C.

10.27%

解释：

The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.

AFMR’s assets should be invested with the objective of earning a nominal average annual return of 9.74%. This level reflects a spending rate of 5.5%, an expected inflation rate of 3.5% and a 50 bp cost of earning investment returns.

RT

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2 个答案

lynn_品职助教 · 2024年08月08日

嗨，努力学习的PZer你好：


这个知识点计算的没有专门讲诶，但是定义以及计算一定会考，所以我们多放了几道题。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

lynn_品职助教 · 2023年07月30日

嗨，努力学习的PZer你好：


是计算 return objective


总结一下对于目标是Support in perpetuity、并且Maintain the purchasing power（real value）的Endowment/Foundation，计算Required return时，公式是：


近似算：Spending+Inflation+management fee=nominal return


也可以用乘法算精确的：

（1+Spending）（1+Inflation）（1+ management fee）=（1+nominal return） 


这道题中distribution就是spending的部分。至于为什么不考虑rf，那这道题说明，AFMR要求每年的distribution是5.5，意思就是说他的收益率最低最低要达到这个5.5，这5.5不是风险溢价，相当于是一个total return，无风险利率4已经包含在5.5中了，因此不再次加入计算了。

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加油吧，让我们一起遇见更好的自己！

Grace🎀 · 2024年08月08日

老师请问这个知识点在课件的哪个部分可以找到？

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