请教一下为什么不是liability driven？

问题如下：

The Endowment Fund (TEF) of a domestic research university is currently undergoing its triennial governance audit and review of operations. The research, selection, and evaluation of investment managers are the responsibilities of the investment committee. Individual asset selection is delegated by the committee to outside managers and reviewed by internal staff. Performance evaluation and reporting are conducted by the internal staff, with input from consultants and custodians.

TEF’s mission is threefold: (1) support scholarships, (2) support capital improvements,and (3) fund a portion of the university’s operating budget. In addition to considering expected return in relation to volatility, the investment committee wants to include the following factors in its strategic asset allocation review:

• The domestic equity market represents only 7% of global equity market capitalization.

• The university attracts a global student body, and enrollment levels tend to track the performance of developed market economies.

• The university plans to significantly increase its spending on capital improvements over the next several years.

• Since contributions typically come from external donors, TEF has little control over the timing and amounts of contributions to the fund.

TEF’s current investment objective is to generate a real rate of return in excess of thatrequired to fund ongoing distributions in accordance with TEF’s mission, with a maximum acceptable volatility of 16% per year, and to maximize the Sharpe ratio of TEF’s total financial assets . TEF is intent on selecting portfolios that make efficient use of asset risk. TEF employs a mean–variance optimization approach that considers only the expected returns, risks, and correlations of the asset classes in the opportunity set.

The current financial assets of TEF consist of $45 million in domestic large and mid-cap equities and $35 million in domestic nominal fixed income. The present value of expected future contributions to TEF is estimated to be $230 million. The financial liabilities of TEF consist of mortgage debt currently valued at $19 million. The present value of expected future support is estimated to be $171 million. TEF invests through external managers.

As part of the review of operations, a consultant examines the asset class correlations of TEF’s current equity investments, finding that none of the classes’ pairwise correlations exceed 0.95.

The consultant considers domestic small-cap equities a separate asset class that would not raise any new regulatory restrictions. The consultant recommends that TEF consider adding this asset class to its existing domestic equity allocation.

A range of potential strategic asset allocation choices for consideration by the investment committee are developed by the internal staff through optimization exercises and are presented in Exhibit 1.

Exhibit 1

TEF’s broad approach to asset allocation can best be described as:

选项：

A.

asset-only.

B.

goals-based.

C.

liability-relative.

解释：

Asset-only approaches to asset allocation focus solely on the asset side of the investor’s balance sheet. Liabilities are not explicitly modeled. Mean–variance optimization (MVO) is the most familiar and deeply studied asset-only approach. MVO considers only the expected returns, risks, and correlations of the asset classes in the opportunity set. In contrast, liability-relative and goals-based approaches explicitly account for the liability side of the economic balance sheet, dedicating assets to meet, respectively, legal liabilities or quasi-liabilities (other needs that are not strictly liabilities but are treated as such) and goals.