NO.PZ2023010409000006
问题如下：
During the meeting, Spintop states that the Fund has an annual spending
policy of paying out 4% of the Fund’s three-year rolling asset value to Wolf
University.
The Fund
has a small investment staff with limited experience in managing alternative
assets and currently uses the Norway model for its investment approach. Azarov
suggests a change in investment approach by making an allocation to externally
managed alternative assets—namely, hedge funds and private equity. Ten-year
nominal expected return assumptions for various asset classes, as well as three
proposed allocations that include some allocation to alternative assets, are
presented in Exhibit 1.
Expected inflation
for the next 10 years is 2.5% annually.
Which proposed allocation in Exhibit 1 would be most appropriate for the Fund given its characteristics?
选项：
A.
Allocation 1
B.
Allocation 2
C.
Allocation 3
解释：
C is correct. Allocation 3 is the most appropriate allocation for the Fund. The annual expected returns for the three allocations are as follows:
Allocation 1: Expected return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) +(0.05 × 9.1%)= 5.57%.
Allocation 2: Expected return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) +(0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.
Allocation 3: Expected return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) +(0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.
The real return for Allocation 1 is 3.07% (= 5.57% – 2.50%), and the real return for Allocation 2 and Allocation 3 is 4.21% (= 6.71% – 2.50%).
Therefore, Allocation 1 is not appropriate because the expected real rate of return is less than the annual spending rate of 4%. With expected spending at 4%, the purchasing power of the Fund would be expected to decline over time with Allocation 1.
Allocations 2 and 3 both offer an expected real rate of return greater than the annual spending rate of 4%. Thus, the purchasing power of the Fund would be expected to grow over time with either allocation. However, Allocation 3 is more appropriate than Allocation 2 because of its lower allocation to alternative assets (hedge funds and private equity). The total 60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 and is likely too high considering the Fund’s small investment staff and its limited experience with managing alternative investments. Also, given the Fund’s relatively small size of assets under management ($200 million), access to top hedge funds and private equity managers is likely to be limited.
讲义18页写了内部人员不专业/不充足应该outsource to external manager么？麻烦问下为什么这里externally managed assets反而是员工不专业也不行啊？external manager 和externally managed assets不是一样的意思么？谢谢老师
