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Yuyu · 2021年09月01日

这道题是不是得先计算才能判断

  1. CFA III
  2. 机构IPS

NO.PZ2019100901000017

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.

Upon completion of the investment policy review by her four-person staff, the CIO makes some recommendations to the Endowment’s board regarding the investment objectives and asset allocation. One of her recommendations is to adopt the endowment model as an investment approach. She recommends investing 20% in private equity, 40% in hedge funds, 25% in public equities, and 15% in fixed income.

Determine whether the board should accept the CIO’s recommendation. Justify your response.

解释：

Justify your response:

The board should reject the CIO’s recommendation. This recommendation is a significant departure from current practice and entails a much higher level of risk. The size of the investment team is small, with only four people, and it may not have adequate access to or experience in alternative investments. Given the relatively small size of the Endowment, it is unlikely that it has access to top managers in the hedge fund and private equity spaces.

因为题干没有收益率，默认用的是前面的题干里的吧？
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2 个答案

发亮_品职助教 · 2021年11月18日

嗨，爱思考的PZer你好：


请问对于小的endowment，多少比例以下的alternatives是合适的？毕竟是endowment model，投另类是它的特色吧？对于大的endowment，另类的比例又是多少合适呢？


这个可以参考原版书给出来的实务统计数据。


首先是随着基金规模的增加，alternatives的比例会逐渐上升。

但最大的基金群体（Over 1 billion），Alternatives的比例会在50%左右。

对于非常小的基金，比例一般在10%左右。

所以可以理解成在10%~50%左右的Alternatives是可以接受的。


比例如果超了50%的话，可能就要引起我们的注意了，就要结合题干条件，看看流动性是否可以满足，风险承受能力是否可以接受，是否有能力投资alternatives等等。题目一般会有比较明确的信息帮助我们作出选择的。

如果比例太小的话，也需要结合题干条件，看看收益目标是否可以满足等。

基本上，这类题目会给出比较明显的区别，我们结合题干信息就可以判断出alternatives的比例是否合适。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

发亮_品职助教 · 2021年09月02日

嗨，爱思考的PZer你好：


因为题干没有收益率，默认用的是前面的题干里的吧？


不用计算，定性就可以判断本题的投资比例不适合。


推荐的投资比例是：

20% in PE（Alternatives），40% in hedge funds（Alternatives），25% in上市公司股票，15% in 固收

She recommends investing 20% in private equity, 40% in hedge funds, 25% in public equities, and 15% in fixed income.


那这么算下来，他们基金在Alternatives的投资就是60%，这个比例过高。

然后可以结合他们基金的特点，来分析60%的Alternatives过于激进，不适合这个Endowment。


具体来看：


首先是Alternatives是专业化较高的投资，需要有专业的投研人员，从题干看，他们基金的投研人员太少了，只有四人：

Upon completion of the investment policy review by her four-person staff

所以可以看出，他们公司可能不具备自己投资Alternatives的能力。


那这道题建议用的是Endowment model，Endowment model是将投资外包出去，让外部的基金来帮助投资。在这种情况下，他们基金就需要有能力筛选出外部优秀的Alternative基金，因为Alternatives投资中，好的基金和差的基金，投资收益的方差太大了。所以，即便要外包投资，也需要具备筛选出外部优秀基金的能力。那在只有4名投研人员的情况下，他们公司也可能不具有筛选外部优秀基金经理的能力。于是60% Alternatives不适合。


第2点就是，他们公司的Asset under manangement太小了（assets under management are relatively small），太小的基金规模，不具备激进投资的能力，同时Alternatives投资一般具有较高的投资门槛，太小的规模导致无法接触到优秀的Alternatives基金经理，因此，60%的比例在高风险的Alternatives，过于激进，他们也无法接触到优秀的外部基金，也导致不适合他们公司。


以上就是结合本题题干信息的分析，所以对应的答案是：


投研团队太小，没有足够的能力去构建Alternatives投资：

The size of the investment team is small, with only four people, and it may not have adequate access to or experience in alternative investments.


基金规模较小，没有能力接触到优秀的Alternatives基金经理：

Given the relatively small size of the Endowment, it is unlikely that it has access to top managers in the hedge fund and private equity spaces.

答出以上2点就OK了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Louis · 2021年11月18日

请问对于小的endowment，多少比例以下的alternatives是合适的？毕竟是endowment model，投另类是它的特色吧？对于大的endowment，另类的比例又是多少合适呢？

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