No.PZ2022122801000006 (问答题)
来源: 经典题
Rohan Roggen is the founder of a successful business in Europe. Roggen also created the Roggen Family Charitable Foundation (RFCF) to fund projects in perpetuity that will provide clean drinking water in developing countries.
RFCF’s current portfolio is valued at EUR 250 million, with 50% in equities and 50% in fixed income. The portfolio’s equity holdings are in a fund tracking a broad index of EUR-denominated stocks; the fixed-income holdings are in a fund tracking an all-maturity index of EUR- denominated government bonds. Roggen rebalances the foundation’s portfolio every six months.
Roggen hires Michaela Loucks, an investment consultant, to advise on RFCF’s asset allocation and investments. Roggen explains that he wants the foundation to achieve the following objectives:
Spend at least 3% of the fund’s beginning value on projects each year in order to satisfy a legal requirement.
As part of this annual distribution, spend at least EUR 5 million (inflation-adjusted) each year on projects in emerging countries in Europe.
Minimize the likelihood of a decline in the portfolio’s value of more than 10% in any single year.
Loucks recommends that RFCF establish an IPS and globally diversify its portfolio. She discusses with Roggen the asset-only (AO) and asset/liability management (ALM) approaches to setting RFCF’s policy asset allocation.
A. Discuss why each of the following approaches could be appropriate in setting RFCF’s policy asset allocation:
i. AO
ii. ALM
