NO.PZ201805280100000206
问题如下：
Given McCall’s IPS recommendation, the most appropriate new strategic asset allocation for the KCPF is:
选项：
A.40% stocks/60% bonds.
B.65% stocks/35% bonds.
C.75% stocks/25% bonds.
解释：
A is correct.
McCall recommends a new IPS. Changes in the economic environment and capital market expectations or changes in the beliefs of committee members are factors that may lead to an altering of the principles that guide investment activities. Because the plan is now overfunded, there is less need to take a higher level of equity risk. The Pension Committee is concerned about the impact of future market and economic risks on the funding status of the plan. Katt Company operates in a cyclical industry and could have difficulty making pension contributions during a recession. Therefore, a substantial reduction in the allocation to stocks and an increase in bonds reduce risk. The 40% stocks/60% bonds alternative increases the allocation to bonds from 35% to 60%. Increasing the fixed- income allocation should moderate plan risk, provide a better hedge for liabilities, and reduce contribution uncertainty.
考点：revising the strategic asset allocation
解析：当前资产配置为65% stocks/35% bonds。由于公司处于cyclical industry周期性行业，这意味着经济变差，公司的业绩会受经济影响变差，对KCPF的contribution会下降，因此KCPF应当转向更保守的投资，以免承受经济变差带来的损失。另外，由于当前KCPF overfunded，asset足以cover liability，因此不需要投资激进，无需承担更高风险，也是应当转向更保守的投资。比65% stocks/35% bonds更保守的是A选项40% stocks/60% bonds.
按照最后一段描述“The goal is to benefit from equity market trends by automatically increasing (decreasing) the allocation to equities by 5% whenever the S&P 500Index 50- day moving average crosses above (below) the 200- day moving average.”equity的range是65%+-5%，即60%-70%。这样的话目前的答案是超IPS range的。
