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mino酱是个小破货 · 2025年03月16日

烦请老师帮忙看下是否可以这么回答，谢谢老师

  1. CFA III
  2. 机构IPS

* 问题详情，请 查看题干

NO.PZ202410250100000102

问题如下：

The investment committee also asks Bookman to investigate whether the en dowment should increase its allocation to illiquid investments to take advantage of higher potential returns. The endowment’s liquidity profile policy stipulates that at least 30% of investments must be classified as liquid to support operating expenses; no more than 40% should be classified as illiquid. Bookman decides to perform a bottom-up liquidity analysis to respond to the committee.

Discuss the elements of Bookman’s analysis and the conclusions he will draw from it.

选项：

解释：

To operationalize the concepts represented in the liquidity budget, it is appropri ate to analyze the underlying liquidity characteristics of the portfolio investments and monitor these characteristics over time. The analysis should look beyond the broad definition of asset classes to the underlying investments used for exposure because different investments within the same asset class could have very differ ent liquidity profiles.

In performing a bottom-up liquidity analysis on the State Tech endowment, Bookman multiplies each asset class allocation by its matching liquidity classifi cation and then aggregates across asset classes. Based on this analysis, 44.5% of investments are currently classified as liquid, and 28.5% are classified as illiquid, calculated as follows:

Investments classified as liquid = (Cash allocation × %Liquid) + (Fixed-income allocation × %Liquid) + (Public equity allocation × %Liquid)

Investments classified as liquid = (1% × 100%) + (24% × 100%) + (39% × 50%) = 44.5%.

Investments classified as illiquid = (Private equity allocation × %Illiquid) + (Real asset allocation × %Illiquid)

Investments classified as illiquid = (21% × 100%) + (15% × 50%) = 28.5%.

The liquid investment allocation of 44.5% is well above the 30% liquid require ment, and the 28.5% illiquid investment allocation is well below the 40% illiquid limit. As a result, there is enough capacity to reallocate more funds from liquid investments into illiquid investments to take advantage of the higher potential returns. Thus, Bookman can recommend that shift.

liquidity profile=44.5% illquity=28.5%

Bookman to investigate should increase its allocation to illiquid investments to take advantage of higher potential returns. Since now the liquidity profile policy stipulates that at least 30%(44.5%) and no more than 40% (28.5%) should be classified as illiquid.

请老师也帮忙写个简单且正确的版本，谢谢

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NO.PZ202410250100000102 问题如下 The investment committee also asks Bookmto investigate whether the enwment shoulincrease its allocation to illiquiinvestments to take aantage of higher potentireturns. The enwment’s liquity profile polistipulates thleast 30% of investments must classifieliquito support operating expenses; no more th40% shoulclassifieilliqui Bookmcis to perform a bottom-up liquity analysis to responto the committee. scuss the elements of Bookman’s analysis anthe conclusions he will from it. To operationalize the concepts representein the liquity buet, it is appropriate to analyze the unrlying liquity characteristiof the portfolio investments anmonitor these characteristiover time. The analysis shoullook beyonthe brofinition of asset classes to the unrlying investments usefor exposure because fferent investments within the same asset class coulhave very fferent liquity profiles.In performing a bottom-up liquity analysis on the State Teenwment, Bookmmultiplies eaasset class allocation its matching liquity classification anthen aggregates across asset classes. Baseon this analysis, 44.5% of investments are currently classifieliqui an28.5% are classifieilliqui calculatefollows: Investments classifieliqui= (Cash allocation × %Liqui + (Fixeincome allocation × %Liqui + (Public equity allocation × %Liqui Investments classifieliqui= (1% × 100%) + (24% × 100%) + (39% × 50%) = 44.5%.Investments classifieilliqui= (Private equity allocation × %Illiqui + (Reasset allocation × %Illiqui Investments classifieilliqui= (21% × 100%) + (15% × 50%) = 28.5%. The liquiinvestment allocation of 44.5% is well above the 30% liquirequirement, anthe 28.5% illiquiinvestment allocation is well below the 40% illiquilimit. a result, there is enough capacity to reallocate more fun from liquiinvestments into illiquiinvestments to take aantage of the higher potentireturns. Thus, Bookmcrecommenthshift. 何老师视频里面不是把semi-liqui资产纳入liqui类分类里面了吗？为什么在计算liquiAsset的时候没有把Semi-liqui资产放进去一起计算，我这边算的是71.5%

2025-01-14 10:34 1 · 回答

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2025-01-06 14:17 1 · 回答