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JustJuve · 2020年04月11日

问一道题:NO.PZ2018110601000024

问题如下:

The SH University Endowment is a very large tax-exempt fund financed from students’ tuition fee, with the current strategic asset allocations presented below.

The manager of Endowment forecast the expected excess return of each asset class. In order to capture the short-term return opportunities, the Endowment can:

选项:

A.

increase the allocation of private equity to 15% and decrease the allocation of real estate to 5%.

B.

increase the allocation of small-cap equities to 32% and decrease the allocation of large-cap equities to 38%

C.

decrease the allocation of large-cap equities to 40% and increase the allocation of short-term bonds to 12%.

解释:

A is correct.

考点:tactical asset allocation

解析:应当增加excess return高的资产比重,降低excess return低的资产比重。但是权重变化不能超过target weight的上下限。

老师,虽然本题选项从数据逻辑上讲没有问题,但是短期去调节PE和房地产的权重,有可操作性吗?这两样资产流动性都不好啊,说调就能调?回头还立刻能调回来?

1 个答案

纠纠_品职答疑助手 · 2020年04月11日

嗨,爱思考的PZer你好:


同学说的没错PE和房地产的权重是比较难调整,但是不代表不能调整。

比如投资房地产你可以投资一些REITS这样的证券化的产品。

而且5%-15%虽然只有10%的范围,但是其实仔细想下,15%其实是5%的三倍,调节空间还是很宽泛的。


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