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awen · 2023年08月24日

表格的数据和题目为什么不一样

NO.PZ2022122801000053

问题如下:

Mark DuBord, a financial adviser, works with the Titan State Foundation (Titan). He meets with the university foundation investment committee annually to review fund objectives and constraints.

Titan’s portfolio has a market value of $10 million. After his annual meeting with its investment committee, DuBord notes the following points:

· Titan must spend 3% of its beginning-of-the-year asset value annually to meet legal obligations.

· The investment committee seeks exposure to private equity investments and requests DuBord’s review of the Sun-Fin Private Equity Fund as a potential new investment.

· A recent declining trend in enrollment is expected to continue. This is a concern because it has led to a loss of operating revenue from tuition.

· Regulatory sanctions and penalties are likely to result in lower donations over the next five years.

DuBord supervises two junior analysts and instructs one to formulate new allocations for Titan. This analyst proposes the allocation presented in Exhibit 1.

Discuss two reasons why the proposed asset allocation is inappropriate for Titan.

选项:

解释:

The proposed asset allocation for Titan is not appropriate because:

1. Given the shift in enrollment trends and declining donations resulting from the sanctions, Titan will likely need greater liquidity in the future because of the increased probability of higher outflows to support university operations. The proposed asset allocation shifts Titan’s allocation into risky assets (increases the relative equity holdings and decreases the relative bond holdings), which would introduce greater uncertainty as to their future value.

2. Titan is relatively small for the proposed addition of private equity. Access to such an asset class as private equity may be constrained for smaller asset owners, such as Titan, who may lack the related internal investment expertise. Additionally, the Sun-Fin Private Equity Fund minimum investment level is $1 million. This level of investment in private equity would be 10% of Titan’s total portfolio value. Given Titan’s declining financial position due to declining enrollments and its resulting potential need for liquidity, private equity at this minimum level of investment is not appropriate for Titan.

题目正文说Titan’s portfolio has a market value of $10 million.为什么下图的表格aum单位都是billion?差这么多?

3 个答案
已采纳答案

lynn_品职助教 · 2023年08月24日

嗨,努力学习的PZer你好:


哦哦哦,那就是比如第一行是global equity fund 25b,说明这个global equity fund有25billion这么大,然后最小投资是0.5m;第二行就是你要买的这个投资级别债券的规模是50billion,那就是每一行就是前面资产(第一列)对应的AUM 啊。。。


对,没有错,然后现在Sun-fin是0%*10m,推荐投资10%*10m=1m,符合最小投资1m,但是不合适,原因不啦不啦。



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lynn_品职助教 · 2023年08月24日

嗨,爱思考的PZer你好:


老师,你没理解我的意思,我是问porfolio不是只有10m吗,为什么表格的第四列fund size 那么大(合计125billon)???我看了别的题,大概理解为是不是这个portfolio fund 虽然是10m,但是这个大学fund 是Titan(资管公司)众多资产的一个。所以第四列列的是这家资管公司所以资产的aum,不是这个大学基金的规模。这题里,如果投pe,需要投1m,最低投资额也是1m,硬投也可以吧?但是会有答案那些问题,所以不建议,对吗?


同学,请你再仔细看一看上面的回答,第四列的fund size,是这样的,portfolio只有10m,然后我这10m要去投资,投资什么呢,投资沪深300(举个栗子),沪深300的aum是125b,不是这家资管公司的哈。

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lynn_品职助教 · 2023年08月24日

嗨,从没放弃的小努力你好:


题目正文说Titan’s portfolio has a market value of $10 million.为什么下图的表格aum单位都是billion?差这么多?


Titan是管理了一个10m的组合,它要去投一些市面上的基金,比如the Sun-Fin Private Equity Fund ,这个基金最低投资额是1m,总资产是0.4billion,(minimum investment level is $1 million. )。



在机构IPS部分有介绍,小于25m的属于small asset owner。机构投资者以500 million 为分界点;个人投资者以25 million 为分界点。


本题Titan只有10m,所以属于small asset owner。


Sun-fin是不投可以,要投就一定要投资1m,这个门槛很高,其实就等于流动性差,


而我们现在是要调整权重,


正是因为预期对资金的流动性需求增加,所以调整的这部分资金不能投到流动性更差的资产类别。


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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!

awen · 2023年08月24日

老师,你没理解我的意思,我是问porfolio不是只有10m吗,为什么表格的第四列fund size 那么大(合计125billon)???我看了别的题,大概理解为是不是这个portfolio fund 虽然是10m,但是这个大学fund 是Titan(资管公司)众多资产的一个。所以第四列列的是这家资管公司所以资产的aum,不是这个大学基金的规模。这题里,如果投pe,需要投1m,最低投资额也是1m,硬投也可以吧?但是会有答案那些问题,所以不建议,对吗?

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2024-07-31 14:30 1 · 回答

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