NO.PZ202301280100000804
问题如下：
Which strategic asset allocation in Exhibit 1 best meets TEF’s investment objective and addresses the factors noted by the investment committee?
选项：
A.
Mix A
B.
Mix B
C.
Mix C
解释：
Under Mix A: (a) The allocation to domestic nominal fixed income falls significantly, from 44% to 30%; (b) 20% of the portfolio would be reallocated to real estate; (c) the current 56% allocation to domestic equities falls to 50%; (d) the Sharpe ratio is slightly lower and volatility slightly higher than Mix B.
Under Mix B: (a) The fixed income allocation has been diversified by adding exposure to inflation-linked bonds, matching the allocation to nominal fixed income; (b) exposure to non-domestic equities has been added, making up 60% of the allocation to stocks, (c) hedge funds have been added, matching the allocation to real estate; (d) the Sharpe ratio is the highest and volatility the lowest of the three mixes.
Under Mix C: (a) While exposure to non-domestic equities is added, more than 80% of equity allocation remains in domestic stocks;the overall allocation to equities at 55% is higher than Mixes A and B but nearly identical to the current equity allocation of 56%; (b) exposure to inflation-linked fixed income securities is added, but the overall allocation to fixed income declines by one-third; (c) 25% of the portfolio would be reallocated to real estate; (d) the Sharpe ratio is the lowest and volatility the highest of the three mixes.
Comments:
The university plans to significantly increase its spending on capital improvements over the next several years. Given the illiquid nature of private and direct real estate, the university’s plans could come under pressure under Mixes A and C. TEF has little control over the timing and amounts of contributions to the fund, making liquidity an important consideration. Because hedge funds are more liquid than private real estate, the overall liquidity profile of TEF improves with the addition of this asset class in Mix B.
The domestic equity market represents only 7% of the value of world equity markets. By biasing toward the home market, TEF is not optimally aligning regional weights with the global market portfolio and the internal staff is implicitly implementing a market view. Potential investment explanations for the bias, such as offsetting liabilities that are denominated in the home currency, are likely not relevant in this case – the university attracts a global student body and enrollment levels tend to track the performance of developed market economies. Only Mix B meaningfully addresses this home-market bias.
While Mix C has a higher expected return than Mix B, its lower Sharpe ratio indicates that Mix C makes inefficient use of its additional risk. While the expected return for Mix A is slightly higher than Mix B, this cannot overcome its deficiencies. Overall, Mix B appears to provide the greatest improvement on the current asset allocation.
我觉得正常aa，加上未来contribution的asset是310（45+35+230），liab是190（171+191），稳妥ALM，投FI应该是190/310=61%。当然这题可以选，先看vol是否但是16%，没有，看Sharpe ratio哪个最高，然后看下PE那类alts比例是否符合要求啥的，结果大差不差，就是最高SR
