这个题目是否回报率也不符合要求呢？

问题如下：

The hypothetical Ivy University Endowment was established in 1901 and supports Ivy University. The endowment supports about 40% of the university’s operating budget. Historically, the endowment has invested in a traditional 20% public US equities, 80% US Treasury portfolio, and it is entirely implemented through passive investment vehicles.

The investment staff at the endowment is relatively small. With the appointment of a new chief investment officer, the investment policy is being reviewed. Endowment assets are US$250 million, and the endowment has a spending policy of paying out 5% of the 3-year rolling asset value to the university.

The new CIO has engaged an investment consultant to assist her with the investment policy review. The investment consultant has provided the following 10-year (nominal) expected return assumptions for various asset classes: US equities: 7%, Non-US equities: 8%, US Treasuries: 2%, hedge funds: 5%, private equity: 10%. In addition, the investment consultant believes that the endowment could generate an additional 50 bps in alpha from active management in equities. Expected inflation for the next 10 years is 2%.

The new CIO was at a previous endowment that invested heavily in private investments and hedge funds and recommends a change in the investment policy to the board of Ivy University Endowment.

She recommends investing 30% in private equity, 30% in hedge funds, 30% in public equities (15% US and 15% non-US with active management), and 10% in fixed income. This mix would have an expected real return of 5.1% based on the expected return assumptions provided by the investment consultant.

Should the board approve the new CIO’s recommendation? Provide your reasoning.

选项：

解释：

The board should reject the CIO’s recommendation. This is a very significant departure from the current practice. The size of the investment team is small, and they have no prior experience in managing hedge fund and private equity portfolios (except for the new CIO). Given the size of the endowment, it is unlikely to have access to top quartile managers in the hedge fund and PE spaces.