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Darkblanca · 2024年01月17日

standard deviation 有什么用？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000008

问题如下：

A few months later, Carson receives a phone call from Hamidah. She’s now on the board of trustees of Artic Foundation for Medical Research (AFMR). AFMR was established to support various medical research initiatives. She is very excited and asks Carson to help identify the return objective of AFMR’s portfolio. Osaka notes the following:

• AFMR’s overall investment objective is to maintain its portfolio’s real purchasing power after distributions.

• The risk-free rate is 4.0%.

• An expected inflation rate is 3.5%.

• The portfolio’s standard deviation is 15.0%.

• The cost of earnings investment returns is 50 bp.

• AFMR targets a 5.5% annual distribution of assets.

AFMR’s return objective is closest to: (2020 mock PM)

选项：

A.

9.50%

B.

9.74%

C.

10.27%

解释：

The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.

AFMR’s assets should be invested with the objective of earning a nominal average annual return of 9.74%. This level reflects a spending rate of 5.5%, an expected inflation rate of 3.5% and a 50 bp cost of earning investment returns.

这道题什么考点？讲义上有吗？是出自哪里的经典题？


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1 个答案

lynn_品职助教 · 2024年01月17日

嗨，爱思考的PZer你好：


standard deviation 有什么用？

这道题什么考点？讲义上有吗？是出自哪里的经典题？


standard deviation没有用，是一个障眼法


这道题是考一个计算，讲义上没有写这个公式，但是经典题和例题都讲解了，是一个重要考点啦，来自2020 mock PM


目标是Support in perpetuity、并且Maintain the purchasing power（real value）的Endowment/Foundation，计算Required return时，公式是：


近似算：Spending+Inflation+management fee=nominal return


也可以用乘法算精确的：

（1+Spending）（1+Inflation）（1+ management fee）=（1+nominal return） 


这道题中distribution就是spending的部分。


至于为什么不考虑rf，因为这道题说明，AFMR要求每年的distribution是5.5，意思就是说他的收益率最低最低要达到这个5.5，这5.5不是风险溢价，相当于是一个total return，无风险利率4已经包含在5.5中了，因此不再次加入计算了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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