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Kate · 2024年06月28日

答案中第三点的后半句

NO.PZ2023010409000016

问题如下:

Susan Liew, CFA, is the CIO of the Lorenza State Pension Plan (LSPP), a public DB plan. The plan maintains an asset allocation of 30% US equities, 30% international equities, 30% US fixed income, and 10% international fixed income. Given the poor prospects for fixed income and the mediocre expectations for equities, Liew is exploring making allocations to various alternatives and has asked LSPP’s asset consultant to provide comments on considerations for each alternative asset class, as shown here:

Liew recommends to LSPP’s Board of Trustees the following change in asset allocation:


How would the recommended change in asset allocation be expected to affect LSPP’s funded status?

解释:

The recommended changes in asset allocation would likely affect LSPP’s funded status as follows:

Ÿ The changes would increase expected returns, implying higher expected asset values for LSPP over time.

Ÿ Given that both alternative debt and hedge funds have higher projected long-term returns than traditional debt and equities, respectively, the discount rate applied to LSPP’s liabilities can be increased, thereby reducing their present value.

Ÿ On balance, LSPP’s funded status would be expected to improve because of the recommended changes in asset allocation. In addition to generating higher asset values and lower present value of liabilities, the volatility of assets (and therefore the risk to funded status) should be reduced because of the lower correlation among asset returns.

Note that although these alternative investments entail reduced liquidity, the funded status improves because of the factors mentioned previously. However, the reduced liquidity must be considered to ensure sufficient coverage of prospective liabilities.

Alternative investments entail greater manager selection risk and larger dispersion of returns around the policy benchmark relative to a passive allocation to public markets. Careful manager selection would likely require resources that would increase internal costs, and also require paying higher fees to access skilled alternative asset managers.

这句描述是不是有问题?为什么会让整体volatility 下降?

Alternative investment 风险大,即使看起来correlation 低,但是引入的alternative investment 的portfolio应该会让整体风险上升。

我们还经常提到alternative investment 由于smoothing 所以低估了volatility ,实际的风险大。

1 个答案

Lucky_品职助教 · 2024年06月30日

嗨,从没放弃的小努力你好:


同学你好:


你对alternative investment 自身的特征判断没有问题,但是这道题的目的是,让我们解释在原有的投资组合中(几乎都是最传统的投资工具:国内&国外的股票债券),加入alternative(Private debt, Infrastructure,HF)之后,新的portfolio会有什么样子的影响和变化。alternative investment 与传统的投资工具之间,天然就带有相关性低,并且能够提供多元化从而降低整体风险,以及增加总体收益率的效果。

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加油吧,让我们一起遇见更好的自己!

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2024-07-29 03:00 1 · 回答

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2024-02-03 08:54 1 · 回答