NO.PZ2022122801000051
问题如下：
Several years later,
Channel’s pension plan has grown to over EUR 5 billion in assets. During that
time period, the fund’s allocation to illiquid assets (which includes direct
real estate, private equity and infrastructure) increased to 30%.
Channel maintains
its leading position in the insurance industry and its balance sheet remains healthy.
However, given heightened competition and increasingly soft pricing conditions,
Channel staff members are researching possible cost saving strategies for
management consideration. While viewed as an unlikely choice by Mukasa,
reducing Channel’s cash contributions to its pension plan is among them. The
plan is currently 90% funded.
Pai reviews key
benefits and constraints of large institutional investors in asset allocation
that may be relevant to Channel’s pension plan. He makes the following
statements.
Statement 1: A substantial allocation to illiquid
assets may be inappropriate for Channel’s pension plan if there is a
significant probability of Channel lowering its contributions to the plan.
Statement 2: Large institutional investors, such as
Channel’s pension plan, will likely benefit from deploying active equity
strategies, due to manager access, liquidity and trading cost advantages.
Statement 3: Channel’s pension fund may rebalance
portfolio weights from the strategic allocation in order to exploit perceived
opportunities based on its latest five-year capital market expectations.
Which of Pai’s statements is most appropriate for the pension plan, given Channel’s current market circumstances?
选项：
A.Statement 1.
tatement 2.
Statement 3.
解释：
The change to the expected cash contributions to the pension fund, if adopted, would materially affect the fund’s asset allocation strategy. The odds of that happening, however, appear low at present according to Mukasa. At this point, this indicates a need for the pension plan to increase sensitivity to liquidity concerns, but is not necessarily cause for immediate revisions to the current allocation.
Large institutional investors, including Channel’s pension plan, may benefit from operational efficiencies and other competitive advantages (such as scale, expertise and resources). However, scale may also impose obstacles related to the liquidity conditions and trading costs of the underlying assets. A very large size might make it difficult to deploy capital effectively in certain active equity strategies—for example, to benefit from opportunistic investments in niche markets or from skilled investment managers who have a small set of unique ideas or concentrated bets. Therefore, Statement 2 is not necessarily correct.
Statement 3 is mixing portfolio rebalancing (to a strategic asset allocation) and tactical asset allocation (relative to strategic asset allocation). Rebalancing is the discipline of adjusting portfolio weights to more closely align with the strategic asset allocation. Changes in asset prices may cause the portfolio asset mix to deviate from strategic target weights even in the absence of changing investor circumstances, a revised economic outlook, or tactical asset allocation views. In contrast, tactical asset allocation (TAA) involves short-term tilts away from the strategic asset allocation (SAA) in order to exploit perceived opportunities in financial market conditions (e.g., temporary asset mispricing). These short-term bets are expected to increase risk-adjusted return. SAA is developed based on long-term economic forecasts and capital market expectations (long-term expected asset class returns).
A选项，既然是underfunded,而且contribution要减少，不是更应该去买illiquid asset to pursue a higher return to make funded status 回到overfunded 的状态吗
