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wendysakura · 2020年03月01日

问一道题:NO.PZ2016031101000017 [ CFA III ]

问题如下:

Midwest National Bank manages a domestic equity portfolio for the Springfield Municipal Employees’ Retirement Fund (SMERF), a mature defined-benefit pension plan. The SMERF portfolio belongs to Midwest’s Institutional Equity composite. The composite description states, "Portfolios included in the Institutional Equity composite are actively managed for long-term capital appreciation." SMERF’s investment policy statement includes the following provisions:

All security transactions must be approved in advance by the SMERF Investment Committee. SMERF anticipates making regular net withdrawals in substantial amounts from the portfolio to meet pension liabilities. SMERF staff will prepare a schedule of withdrawals at the beginning of each fiscal year. The portfolio manager must manage liquidity so as to disburse funds in accordance with the withdrawal schedule.

In view of these restrictions, discuss whether Midwest National Bank can justify including the SMERF portfolio in the composite.

解释:

The GIPS standards prohibit including non-discretionary portfolios in composites. IPS restrictions do not necessarily render a portfolio non-discretionary. It is up to the investment management firm to define discretion and to determine whether it has the discretion to implement the investment strategy, given the restrictions of the IPS. In this case, however, it appears likely that SMERF’s policy requiring transactions to be approved in advance by the Investment Committee and the pension plan’s liquidity needs prevent Midwest National Bank from fully implementing the investment objective of achieving long-term capital appreciation through active management. If so, Midwest National Bank should classify the SMERF portfolio as nondiscretionary and exclude it from all composites. (See Section 3.7 of the reading.)

请问为何这家bank要exclude这个pension fund呢?没看懂答案。

1 个答案

carolllll · 2020年03月02日

嗨,努力学习的PZer你好:


同学你好,

这题主要考察的是discretionary and non-discretionary account下,那种可以计入composite return中。

题干说到“All security transactions must be approved in advance by the SMERF Investment Committee. ”,证明SMERF Investment Committee才是真正做投资决定的人,基金经理并没有投资决策权,所以属于non-discretionary account,而这种account由于基金经理没有投资决策权,所以赚来的return并不可以计入composite return中,因为是客户自己决定的投资,所以这个pension fund是不能include的。

希望对你有帮助~


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努力的时光都是限量版,加油!


Louis · 2021年11月18日

The bank是基金经理,the pension fund只是sponsor…不仔细看有点绕还以为investment committee是自己的

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