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Arnie · 2024年01月23日

问题问的是real purchase power after distribution，那应该是剔除通胀之后的真实收益呀？

  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.

在institution中都是计算的组合收益率减去inflation之后与spending policy of paying out 4% 进行比较（剔除了通胀之后的收益率）



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1 个答案

lynn_品职助教 · 2024年01月24日

嗨，努力学习的PZer你好：


问题问的是real purchase power after distribution，那应该是剔除通胀之后的真实收益呀？


real pruchase power不是real rate，购买力是要考虑通胀的。


总结一下对于目标是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） 


一定要考虑通胀哦。

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