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SUN · 2020年01月07日

问一道题:NO.PZ2019100901000007 [ CFA III ]

对于小机构又想投资另类资产,有具体多大投资比例算大吗在?问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

发亮_品职助教 · 2020年01月08日

嗨,从没放弃的小努力你好:


“对于小机构又想投资另类资产,有具体多大投资比例算大吗在?”


没有具体的界限,是从实际描述、相对来判断的。


 


这种题的判断思路是这样:

首先不论是哪个Allocation的方法,收益率都一定要满足Return target。对于这个Endowment名义收益率的目标是:2.5% + 4% = 6.5%

其中2.5%的目标是让资产Asset base跟着通胀增长、保持购买力,4%的收益目标是在此基础上满足4%的花费需求,这样不用耗费本金、收益就能Cover现金流需求。

这样的话,保证了Endowment资产不花费本金、且Maintain purchasing power,可以实现永续存在(In perpetuity)的目标。

3个Allocation方案算下来,Allocation 2和3的名义收益率满足目标。

然后在这两个里面选,我们也不用管具体投资另类是多少,就直接找另类投资相对更少的那个。因为是Limited experience和Small size,另类越少越好,这就是从相对比较出发的,并没有参考绝对的比例是多少。

如果要从绝对数上判断,题目可能会给Mandate描述,咱们教材里没有说绝对多少算多。

 


-------------------------------
努力的时光都是限量版,加油!


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