开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Darkblanca · 2024年01月17日

standard deviation 有什么用?

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?


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。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 1

    关注
  • 241

    浏览
相关问题

NO.PZ2022122801000008 问题如下 A few months later, Carsonreceives a phone call from Hamih. She’s now on the boarof trustees of ArticFountion for MecResear(AFMR). AFMR westablisheto support variousmecresearinitiatives. She is very exciteanasks Carson to helpintify the return objective of AFMR’s portfolio. Osaka notes the following:• AFMR’s overallinvestment objective is to maintain its portfolio’s repurchasing power afterstributions.• The risk-freerate is 4.0%.• expectenflation rate is 3.5%.• The portfolio’sstanrviation is 15.0%.• The cost ofearnings investment returns is 50 bp.• AFMR targets a5.5% annustribution of assets.AFMR’s returnobjective is closest to: (2020 moPM) 9.50% 9.74% 10.27% The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.AFMR’s assets shoulinvestewith the objective of earning a nominaverage annureturn of 9.74%. This level reflects a spenng rate of 5.5%, expecteinflation rate of 3.5% ana 50 cost of earning investment returns. 请问老师,这道题会涉及geometric return v.s arithmetic return 的考点吗?geometric return v.s arithmetic return 的知识点是哪个章节的哪个mole的呢?想不起来了,一下子没有找到~

2024-07-16 12:13 1 · 回答

NO.PZ2022122801000008 问题如下 A few months later, Carsonreceives a phone call from Hamih. She’s now on the boarof trustees of ArticFountion for MecResear(AFMR). AFMR westablisheto support variousmecresearinitiatives. She is very exciteanasks Carson to helpintify the return objective of AFMR’s portfolio. Osaka notes the following:• AFMR’s overallinvestment objective is to maintain its portfolio’s repurchasing power afterstributions.• The risk-freerate is 4.0%.• expectenflation rate is 3.5%.• The portfolio’sstanrviation is 15.0%.• The cost ofearnings investment returns is 50 bp.• AFMR targets a5.5% annustribution of assets.AFMR’s returnobjective is closest to: (2020 moPM) 9.50% 9.74% 10.27% The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.AFMR’s assets shoulinvestewith the objective of earning a nominaverage annureturn of 9.74%. This level reflects a spenng rate of 5.5%, expecteinflation rate of 3.5% ana 50 cost of earning investment returns. 老师,还是想请问一下这个题考的是哪一个知识点,感觉从来都没有见过

2024-06-25 23:57 1 · 回答

NO.PZ2022122801000008问题如下 A few months later, Carsonreceives a phone call from Hamih. She’s now on the boarof trustees of ArticFountion for MecResear(AFMR). AFMR westablisheto support variousmecresearinitiatives. She is very exciteanasks Carson to helpintify the return objective of AFMR’s portfolio. Osaka notes the following:• AFMR’s overallinvestment objective is to maintain its portfolio’s repurchasing power afterstributions.• The risk-freerate is 4.0%.• expectenflation rate is 3.5%.• The portfolio’sstanrviation is 15.0%.• The cost ofearnings investment returns is 50 bp.• AFMR targets a5.5% annustribution of assets.AFMR’s returnobjective is closest to: (2020 moPM) 9.50%9.74%10.27% The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.AFMR’s assets shoulinvestewith the objective of earning a nominaverage annureturn of 9.74%. This level reflects a spenng rate of 5.5%, expecteinflation rate of 3.5% ana 50 cost of earning investment returns. 请问这是哪里的知识点 用相乘不同相加?这道题为什么不用builng blocks 直接全部相加?

2024-06-23 22:57 1 · 回答

NO.PZ2022122801000008问题如下 A few months later, Carsonreceives a phone call from Hamih. She’s now on the boarof trustees of ArticFountion for MecResear(AFMR). AFMR westablisheto support variousmecresearinitiatives. She is very exciteanasks Carson to helpintify the return objective of AFMR’s portfolio. Osaka notes the following:• AFMR’s overallinvestment objective is to maintain its portfolio’s repurchasing power afterstributions.• The risk-freerate is 4.0%.• expectenflation rate is 3.5%.• The portfolio’sstanrviation is 15.0%.• The cost ofearnings investment returns is 50 bp.• AFMR targets a5.5% annustribution of assets.AFMR’s returnobjective is closest to: (2020 moPM) 9.50%9.74%10.27% The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.AFMR’s assets shoulinvestewith the objective of earning a nominaverage annureturn of 9.74%. This level reflects a spenng rate of 5.5%, expecteinflation rate of 3.5% ana 50 cost of earning investment returns. 为什么不直接相加计算呢?

2024-05-08 13:05 1 · 回答

NO.PZ2022122801000008 问题如下 A few months later, Carsonreceives a phone call from Hamih. She’s now on the boarof trustees of ArticFountion for MecResear(AFMR). AFMR westablisheto support variousmecresearinitiatives. She is very exciteanasks Carson to helpintify the return objective of AFMR’s portfolio. Osaka notes the following:• AFMR’s overallinvestment objective is to maintain its portfolio’s repurchasing power afterstributions.• The risk-freerate is 4.0%.• expectenflation rate is 3.5%.• The portfolio’sstanrviation is 15.0%.• The cost ofearnings investment returns is 50 bp.• AFMR targets a5.5% annustribution of assets.AFMR’s returnobjective is closest to: (2020 moPM) 9.50% 9.74% 10.27% The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.AFMR’s assets shoulinvestewith the objective of earning a nominaverage annureturn of 9.74%. This level reflects a spenng rate of 5.5%, expecteinflation rate of 3.5% ana 50 cost of earning investment returns. MCTR和ACTR分别是什么,需要掌握的公式有哪些?

2024-01-24 21:53 2 · 回答