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逐渐囝仔化 · 2020年02月20日

问一道题：NO.PZ2019100901000015 [ CFA III ]

  1. CFA III
  2. 机构IPS

问题如下：

The Prometheo University Scholarship Endowment (the Endowment) was established in 1950 and supports scholarships for students attending Prometheo University. The Endowment’s assets under management are relatively small, and it has an annual spending policy of 6% of the five-year rolling asset value.

Formulate the investment objectives section of the investment policy statement for the Endowment

解释：

The mission of the Prometheo University Scholarship Endowment is to provide scholarships for students attending the university. In order to achieve this mission, the Endowment must maintain the purchasing power of the assets in perpetuity while achieving investment returns sufficient to sustain the level of spending necessary to support the scholarship budget. Therefore, the investment objective of the endowment should be to achieve a total real rate of return (after inflation) of at least 6% with a reasonable level of risk.

investment objective要加over the long term(k years)吗？5年算不算长期
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发亮_品职助教 · 2020年02月20日

嗨，爱思考的PZer你好：


"investment objective要加over the long term(k years)吗？"

如果题目有具体出现时间年限，那就加上；如果没有出现可以不加，像本题就没出现具体年限，所以不用加。

注意，如果是概述Endowment的目标，诸如下面的描述：maintain the purchasing power and support the spending of the university....出现这样的整体的文字描述时，我们可以加上期限：In perpetuity，因为In perpetuity就是Endowment的终极目标，连起来就是：

maintain the purchasing power and support the spending of the university in perpetuity

上面这句话在答案里也出现了，这种概述的句子一定要写，因为不论是什么Endowment的目标一定有上面这句话。

如果题干信息关于实现的收益率，具体指明了是多少时间，我们要写出来时间；

例如，题目如果说：Achieve a real return of 5% with expected volatility of 12% over 8 years；

那除了上面那句概述要写，题干信息里的这句话也要写出来。如果没出现时间就不写了。

机构IPS写作题，很多题的答案信息在题干中就能获得。

“5年算不算长期”

注意，这道题出现的5年，不是投资期；

这个5年是算Spending rate时，给资产取了5年的平均数。

 it has an annual spending policy of 6% of the five-year rolling asset value.

对于Endowment来说，每年的Spending rate，是基于Asset value的大小的，例如本题每年的支出是基于资产的6%；

我们可以基于上一年的Asset value，这样就是每年的Asset value浮动可能比较大，于是导致Endowment Spending会有较大的波动。

于是，我们可以给过去5年的Asset value取一个移动平均、平滑一下Asset value，这样的话，基于过去5年的Asset value的6%会使得Spending更平顺，避免Spending出现大起大落的花费。


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