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犬来八荒 · 2023年08月13日

endowment allocation这道题何老师讲的和答案矛盾

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201710200200000107

问题如下：

7. Based on Exhibit 1, which portfolio best meets the Laws’ goal to fund an endowment for their alma mater?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct.

Portfolio 2 best meets the Laws’ goal to fund an endowment for their alma mater in 20 years. In present value terms, the gift is valued at $500,000, with the Laws desiring a high probability of achieving this goal. Although slightly more conservative than the 75/25 global equity/bond mix, Portfolio 2 has a greater growth emphasis compared with Portfolios 1 and 3. Therefore, Portfolio 2 is best for funding the endowment at their alma mater given the goal’s long-term horizon and the Laws’ desire for a high probability of achieving it.

考点：goal-based approach

解析：投资期：20 years，长期。实现目标的程度：high probability（与education expense的very strong desire相比，程度略低）。

因为投资期长，所以cash占比可以放低：portfolio 1 cash占比35%偏高，排除。

因为实现目标的程度高，但不是非要满足，所以可以承担一些风险。Portfolio 2和3的差别不仅仅只有diversifying strategy，还有fixed income和global equities。发现portfolio 2的FI占比低，GE占比很高，虽然diversifying strategy略低于portfolio 3，但是由于投资了大量的股票，所以portfolio 2整体上更有成长空间。

何老师在押题Asset allocation课的3:50左右，里面先讲portfolio 2 最合适，然后在4:05左右讲portfolio 3的固收比例更高，更符合high probability。

怎么自相矛盾了？


这道题我个人觉得是选2，因为有75/25的参考

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lynn_品职助教 · 2023年08月13日

嗨，努力学习的PZer你好：


何老师在押题Asset allocation课的3:50左右，里面先讲portfolio 2 最合适，然后在4:05左右讲portfolio 3的固收比例更高，更符合high probability。


怎么自相矛盾了？




这道题我个人觉得是选2，因为有75/25的参考


答案是选B，何老师口误了，首先题目要求“The Laws tell Raye they want a high probability of success funding the endowment”，我们要达到这个目标，2比3稳健是指能成功给endowment投资，3的固收多，权益少，HF在这里起的作用也是分散化为主，这样一来3的收益就不够支持。


我们来仔细看一下2和3的区别，我们押题是把一道大题拆出来的这两问，原题题目中有一句“Raya concludes that a portfolio of 75% global equities and 25% bonds”，给出了一个75/25的参考，2的比例更为接近。其次这里的Hedge funds虽然一般意义上是高收益，但是分类写的是diversifying strategies，说明是更偏向于分散化风险，上面两点都能解释，GE更高的2明显更适合成立母校基金会的目标。

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