开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

cherry · 2021年12月24日

挪威模型

NO.PZ2019100901000007

问题如下:

Azarov’s second meeting is with John Spintop, chief investment officer of the Wolf University Endowment Fund (the Fund). Spintop hired Westcome to assist in developing a new investment policy to present to the Fund’s board of directors. The Fund, which has assets under management of $200 million, has an overall objective of maintaining long-term purchasing power while providing needed financial support to Wolf University. During the meeting, Spintop states that the Fund has an annual spending policy of paying out 4% of the Fund’s three-year rolling asset value to Wolf University, and the Fund’s risk tolerance should consider the following three liability characteristics:

The Fund has a small investment staff with limited experience in managing alternative assets and currently uses the Norway model for its investment approach. Azarov suggests a change in investment approach by making an allocation to externally managed alternative assets—namely, hedge funds and private equity. Ten-year nominal expected return assumptions for various asset classes, as well as three proposed allocations that include some allocation to alternative assets, are presented in Exhibit 1.

Expected inflation for the next 10 years is 2.5% annually.

Which proposed allocation in Exhibit 1 would be most appropriate for the Fund given its characteristics?

选项:

A.

Allocation 1

B.

Allocation 2

C.

Allocation 3

解释:

C is correct.

Allocation 3 is the most appropriate allocation for the Fund. The annual expected returns for the three allocations are as follows:

Allocation 1 exp. return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) + (0.05 × 9.1%)= 5.57%.

Allocation 2 exp. return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) + (0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.

Allocation 3 exp. return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) + (0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.

The real return for Allocation 1 is 3.07% (= 5.57% – 2.50%), and the real return for Allocation 2 and Allocation 3 is 4.21% (= 6.71% – 2.50%).

Therefore, Allocation 1 is not appropriate because the expected real rate of return is less than the annual spending rate of 4%. With expected spending at 4%, the purchasing power of the Fund would be expected to decline over time with Allocation 1.

Allocations 2 and 3 both offer an expected real rate of return greater than the annual spending rate of 4%. Thus, the purchasing power of the Fund would be expected to grow over time with either allocation. However, Allocation 3 is more appropriate than Allocation 2 because of its lower allocation to alternative assets (hedge funds and private equity). The total 60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 and is likely too high considering the Fund’s small investment staff and its limited experience with managing alternative investments. Also, given the Fund’s relatively small size of assets under management ($200 million), access to top hedge funds and private equity managers is likely to be limited.

本题说的是使用挪威模型,也就是大比例投资股和债,为啥A不行?
1 个答案
已采纳答案

发亮_品职助教 · 2021年12月26日

嗨,努力学习的PZer你好:


本题说的是使用挪威模型,也就是大比例投资股和债,为啥A不行?


这道题实际上和挪威模型没有关系的。这道题实际上考查的是Alternatives的投资。

注意看题干这句话:currently uses the Norway model for its investment approach。这句话说,这个基金当前使用的investment approach是Norway模型。

然后紧接着,下面一句说,这位Azarov同学建议改变当前的investment approach,将使用新的投资模型。那怎么改变呢,就是下面标黄这句,通过外包的方式增加alternatives的投资,也就是增加hedge fund与private equity的投资:

Azarov suggests a change in investment approach by making an allocation to externally managed alternative assets—namely, hedge funds and private equity. 


然后题目问的是,表格1里面的哪一个符合新的投资模型。

首先就是,题干已经明确了,新的投资模型将会加大private equity与hedge fund的投资。所以,正确的选项里出现alternatives是合适的。

然后就是,无论怎么进行分配,我们的投资必须要满足required return。由于这道题的基金每年会支付4%出去(annual spending policy of paying out 4% of the Fund’s),所以,这个基金的real return是4%。

那我们就先要算一下,表格1里面的3个allocation能否实现4%的real return。经过计算发现,allocation 1的real return是3.07%,所以allocation 1排除。然后allocation 2与allocation 3的real return都大于4%,所以我们需要在allocation 2与3里面选择一个。


我们选的原则就是:在Portfolio满足收益率的要求下,我们选alternatives比例最低的一个portfolio。因为alternatives比例越低,portfolio的风险就越低。那这样的话,allocation 3就是最合适的Portfolio。因为他的alternatives的比例比allocation 2要低。


不选Allocation 1是因为他的Real return不满足4%的要求,第一步就被排除了。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 2

    关注
  • 683

    浏览
相关问题

NO.PZ2019100901000007 问题如下 Azarov’s seconmeeting is with John Spintop, chief investment officer of the Wolf University Enwment Fun(the Fun. Spintop hireWestcome to assist in veloping a new investment polito present to the Funs boarof rectors. The Fun whihassets unr management of $200 million, hoverall objective of maintaining long-term purchasing power while proving neefinancisupport to Wolf University. ring the meeting, Spintop states ththe Funhannuspenng poliof paying out 4% of the Funs three-yerolling asset value to Wolf University, anthe Funs risk toleranshoulconsir the following three liability characteristics:The Funha small investment staff with limiteexperienin managing alternative assets ancurrently uses the Norwmol for its investment approach. Azarov suggests a change in investment approamaking allocation to externally managealternative assets—namely, hee fun anprivate equity. Ten-yenominexpectereturn assumptions for various asset classes, well three proposeallocations thinclu some allocation to alternative assets, are presentein Exhibit 1.Expecteinflation for the next 10 years is 2.5% annually.Whiproposeallocation in Exhibit 1 woulmost appropriate for the Fungiven its characteristics? A.Allocation 1 B.Allocation 2 C.Allocation 3 C is correct. Allocation 3 is the most appropriate allocation for the Fun The annuexpectereturns for the three allocations are follows:Allocation 1 exp. return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) + (0.05 × 9.1%)= 5.57%.Allocation 2 exp. return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) + (0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.Allocation 3 exp. return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) + (0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.The rereturn for Allocation 1 is 3.07% (= 5.57% – 2.50%), anthe rereturn for Allocation 2 anAllocation 3 is 4.21% (= 6.71% – 2.50%).Therefore, Allocation 1 is not appropriate because the expectererate of return is less ththe annuspenng rate of 4%. With expectespenng 4%, the purchasing power of the Funwoulexpecteto cline over time with Allocation 1.Allocations 2 an3 both offer expectererate of return greater ththe annuspenng rate of 4%. Thus, the purchasing power of the Funwoulexpecteto grow over time with either allocation. However, Allocation 3 is more appropriate thAllocation 2 because of its lower allocation to alternative assets (hee fun anprivate equity). The tot60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 anis likely too high consiring the Funs small investment staff anits limiteexperienwith managing alternative investments. Also, given the Funs relatively small size of assets unr management ($200 million), access to top hee fun anprivate equity managers is likely to limite 请问在这个知识点中,inflation rate都默认用减法,而不是用除法来算rerate吗?

2024-06-29 09:55 1 · 回答

NO.PZ2019100901000007 问题如下 Azarov’s seconmeeting is with John Spintop, chief investment officer of the Wolf University Enwment Fun(the Fun. Spintop hireWestcome to assist in veloping a new investment polito present to the Funs boarof rectors. The Fun whihassets unr management of $200 million, hoverall objective of maintaining long-term purchasing power while proving neefinancisupport to Wolf University. ring the meeting, Spintop states ththe Funhannuspenng poliof paying out 4% of the Funs three-yerolling asset value to Wolf University, anthe Funs risk toleranshoulconsir the following three liability characteristics:The Funha small investment staff with limiteexperienin managing alternative assets ancurrently uses the Norwmol for its investment approach. Azarov suggests a change in investment approamaking allocation to externally managealternative assets—namely, hee fun anprivate equity. Ten-yenominexpectereturn assumptions for various asset classes, well three proposeallocations thinclu some allocation to alternative assets, are presentein Exhibit 1.Expecteinflation for the next 10 years is 2.5% annually.Whiproposeallocation in Exhibit 1 woulmost appropriate for the Fungiven its characteristics? A.Allocation 1 B.Allocation 2 C.Allocation 3 C is correct. Allocation 3 is the most appropriate allocation for the Fun The annuexpectereturns for the three allocations are follows:Allocation 1 exp. return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) + (0.05 × 9.1%)= 5.57%.Allocation 2 exp. return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) + (0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.Allocation 3 exp. return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) + (0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.The rereturn for Allocation 1 is 3.07% (= 5.57% – 2.50%), anthe rereturn for Allocation 2 anAllocation 3 is 4.21% (= 6.71% – 2.50%).Therefore, Allocation 1 is not appropriate because the expectererate of return is less ththe annuspenng rate of 4%. With expectespenng 4%, the purchasing power of the Funwoulexpecteto cline over time with Allocation 1.Allocations 2 an3 both offer expectererate of return greater ththe annuspenng rate of 4%. Thus, the purchasing power of the Funwoulexpecteto grow over time with either allocation. However, Allocation 3 is more appropriate thAllocation 2 because of its lower allocation to alternative assets (hee fun anprivate equity). The tot60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 anis likely too high consiring the Funs small investment staff anits limiteexperienwith managing alternative investments. Also, given the Funs relatively small size of assets unr management ($200 million), access to top hee fun anprivate equity managers is likely to limite 题目中说的小型机构的投资的限制都是针对直接投资alternaives的吧。比如 小的投资机构请不到好的alternative manager,小的机构无法直接投资在alternative的某些策略或者产品。如果小机构用的是外包的alternative 投资呢? 比如用的是enwment mol。是否还要考虑到自身capitsize的问题

2024-06-11 12:22 1 · 回答

NO.PZ2019100901000007问题如下Azarov’s seconmeeting is with John Spintop, chief investment officer of the Wolf University Enwment Fun(the Fun. Spintop hireWestcome to assist in veloping a new investment polito present to the Funs boarof rectors. The Fun whihassets unr management of $200 million, hoverall objective of maintaining long-term purchasing power while proving neefinancisupport to Wolf University. ring the meeting, Spintop states ththe Funhannuspenng poliof paying out 4% of the Funs three-yerolling asset value to Wolf University, anthe Funs risk toleranshoulconsir the following three liability characteristics:The Funha small investment staff with limiteexperienin managing alternative assets ancurrently uses the Norwmol for its investment approach. Azarov suggests a change in investment approamaking allocation to externally managealternative assets—namely, hee fun anprivate equity. Ten-yenominexpectereturn assumptions for various asset classes, well three proposeallocations thinclu some allocation to alternative assets, are presentein Exhibit 1.Expecteinflation for the next 10 years is 2.5% annually.Whiproposeallocation in Exhibit 1 woulmost appropriate for the Fungiven its characteristics?A.Allocation 1B.Allocation 2C.Allocation 3C is correct. Allocation 3 is the most appropriate allocation for the Fun The annuexpectereturns for the three allocations are follows:Allocation 1 exp. return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) + (0.05 × 9.1%)= 5.57%.Allocation 2 exp. return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) + (0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.Allocation 3 exp. return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) + (0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.The rereturn for Allocation 1 is 3.07% (= 5.57% – 2.50%), anthe rereturn for Allocation 2 anAllocation 3 is 4.21% (= 6.71% – 2.50%).Therefore, Allocation 1 is not appropriate because the expectererate of return is less ththe annuspenng rate of 4%. With expectespenng 4%, the purchasing power of the Funwoulexpecteto cline over time with Allocation 1.Allocations 2 an3 both offer expectererate of return greater ththe annuspenng rate of 4%. Thus, the purchasing power of the Funwoulexpecteto grow over time with either allocation. However, Allocation 3 is more appropriate thAllocation 2 because of its lower allocation to alternative assets (hee fun anprivate equity). The tot60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 anis likely too high consiring the Funs small investment staff anits limiteexperienwith managing alternative investments. Also, given the Funs relatively small size of assets unr management ($200 million), access to top hee fun anprivate equity managers is likely to limite对于allocation2和3来说,因为题目给了雇佣外包管理,所以2和3都可以实现,那为什么要选风险低的,题目里没有看到这个要求?

2024-06-04 16:56 1 · 回答

NO.PZ2019100901000007问题如下Azarov’s seconmeeting is with John Spintop, chief investment officer of the Wolf University Enwment Fun(the Fun. Spintop hireWestcome to assist in veloping a new investment polito present to the Funs boarof rectors. The Fun whihassets unr management of $200 million, hoverall objective of maintaining long-term purchasing power while proving neefinancisupport to Wolf University. ring the meeting, Spintop states ththe Funhannuspenng poliof paying out 4% of the Funs three-yerolling asset value to Wolf University, anthe Funs risk toleranshoulconsir the following three liability characteristics:The Funha small investment staff with limiteexperienin managing alternative assets ancurrently uses the Norwmol for its investment approach. Azarov suggests a change in investment approamaking allocation to externally managealternative assets—namely, hee fun anprivate equity. Ten-yenominexpectereturn assumptions for various asset classes, well three proposeallocations thinclu some allocation to alternative assets, are presentein Exhibit 1.Expecteinflation for the next 10 years is 2.5% annually.Whiproposeallocation in Exhibit 1 woulmost appropriate for the Fungiven its characteristics?A.Allocation 1B.Allocation 2C.Allocation 3C is correct. Allocation 3 is the most appropriate allocation for the Fun The annuexpectereturns for the three allocations are follows:Allocation 1 exp. return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) + (0.05 × 9.1%)= 5.57%.Allocation 2 exp. return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) + (0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.Allocation 3 exp. return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) + (0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.The rereturn for Allocation 1 is 3.07% (= 5.57% – 2.50%), anthe rereturn for Allocation 2 anAllocation 3 is 4.21% (= 6.71% – 2.50%).Therefore, Allocation 1 is not appropriate because the expectererate of return is less ththe annuspenng rate of 4%. With expectespenng 4%, the purchasing power of the Funwoulexpecteto cline over time with Allocation 1.Allocations 2 an3 both offer expectererate of return greater ththe annuspenng rate of 4%. Thus, the purchasing power of the Funwoulexpecteto grow over time with either allocation. However, Allocation 3 is more appropriate thAllocation 2 because of its lower allocation to alternative assets (hee fun anprivate equity). The tot60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 anis likely too high consiring the Funs small investment staff anits limiteexperienwith managing alternative investments. Also, given the Funs relatively small size of assets unr management ($200 million), access to top hee fun anprivate equity managers is likely to limite为什么是挪威模型?不是enwment和fountion都是enwment mol 和Cana mol吗

2024-05-05 18:32 1 · 回答

NO.PZ2019100901000007 问题如下 Azarov’s seconmeeting is with John Spintop, chief investment officer of the Wolf University Enwment Fun(the Fun. Spintop hireWestcome to assist in veloping a new investment polito present to the Funs boarof rectors. The Fun whihassets unr management of $200 million, hoverall objective of maintaining long-term purchasing power while proving neefinancisupport to Wolf University. ring the meeting, Spintop states ththe Funhannuspenng poliof paying out 4% of the Funs three-yerolling asset value to Wolf University, anthe Funs risk toleranshoulconsir the following three liability characteristics:The Funha small investment staff with limiteexperienin managing alternative assets ancurrently uses the Norwmol for its investment approach. Azarov suggests a change in investment approamaking allocation to externally managealternative assets—namely, hee fun anprivate equity. Ten-yenominexpectereturn assumptions for various asset classes, well three proposeallocations thinclu some allocation to alternative assets, are presentein Exhibit 1.Expecteinflation for the next 10 years is 2.5% annually.Whiproposeallocation in Exhibit 1 woulmost appropriate for the Fungiven its characteristics? A.Allocation 1 B.Allocation 2 C.Allocation 3 C is correct. Allocation 3 is the most appropriate allocation for the Fun The annuexpectereturns for the three allocations are follows:Allocation 1 exp. return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) + (0.05 × 9.1%)= 5.57%.Allocation 2 exp. return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) + (0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.Allocation 3 exp. return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) + (0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.The rereturn for Allocation 1 is 3.07% (= 5.57% – 2.50%), anthe rereturn for Allocation 2 anAllocation 3 is 4.21% (= 6.71% – 2.50%).Therefore, Allocation 1 is not appropriate because the expectererate of return is less ththe annuspenng rate of 4%. With expectespenng 4%, the purchasing power of the Funwoulexpecteto cline over time with Allocation 1.Allocations 2 an3 both offer expectererate of return greater ththe annuspenng rate of 4%. Thus, the purchasing power of the Funwoulexpecteto grow over time with either allocation. However, Allocation 3 is more appropriate thAllocation 2 because of its lower allocation to alternative assets (hee fun anprivate equity). The tot60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 anis likely too high consiring the Funs small investment staff anits limiteexperienwith managing alternative investments. Also, given the Funs relatively small size of assets unr management ($200 million), access to top hee fun anprivate equity managers is likely to limite 如题

2024-04-22 23:15 2 · 回答