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worldcup · 2024年01月09日

一般题目中提到hedging/return-seeking approach包括它的变形形式么

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000041

问题如下：

PZ is the sponsor of a $1.25 billion legacy DB plan, which is now frozen. The funded ratio is 0.8. The plan sponsor, receives three asset allocation approaches recommendations:

• a surplus optimization approach.

• an integrated asset–liability approach.

• a hedging/return-seeking portfolios approach.

When evaluate asset allocation choices, consider the plan sponsor’s costs.

Determine which asset allocation approach would be most appropriate for the pension fund. Justify your response.

选项：

解释：

Surplus optimization approach is the most appropriate.

Surplus optimization does not require an overfunded status, while implementation of the basic two-portfolio approach depends on having an overfunded plan.

Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increased complexity.

答案解析里说hedging return-seeking不选是因为要求有over-funded status，这是基本形式的要求，

可是如果考虑到hedging return-seeking 方法的变形，underfunded也是可以的啊，为什么不选 hedging-return seeking 呢。

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1 个答案

lynn_品职助教 · 2024年01月10日

嗨，努力学习的PZer你好：


答案解析里说hedging return-seeking不选是因为要求有over-funded status，这是基本形式的要求，

可是如果考虑到hedging return-seeking 方法的变形，underfunded也是可以的啊，为什么不选 hedging-return seeking 呢。


变形的两张方法已经是新方法了，而且都各自有自己的名字，如果题目或者选项中没有专门提到，就不要把它们考虑进来。


hedge/return seeking是将一块蛋糕切成两块，变成hedging portfolio（A=L）和return-seeking portfolio（A>L），hedging部分用于cover liability，return-seeking部分追求收益。overfunded是hedge/return seeking的必要条件，同时也是这个方法的缺点。


如果想更加激进，或者打破这个局限，基金经理就引入了两个变种策略，就是Partial Hedge and (Partial hedge with) dynamic.

 

其中Dynamic version ，也叫做：Liability glide path，是按照Funded ratio动态调整的策略：


也就是说，Hedging portfolio与Return-seeking portfolio的比例是动态变化的，两个Portfolio的比例会随着funded status的变化而变化，且这个比例是提前设计好的。


就像同学说的，即使没有surplus，基金经理也可以采用这两种方法来更激进的投资，达到fully funded的目的。但是题目中没有提及，就不用考虑。

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