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

返回

manilai · 2022年06月27日

這題對應的是哪個考點？

  1. CFA III
  2. 机构IPS

* 问题详情，请 查看题干

NO.PZ202205190400000101

问题如下：

Frank Grides is a portfolio manager for Kemney University Foundation and manages the liquidity profile of the university endowment. This endowment supports some of the funding for the university’s operations. It applies the following spending policy designed to produce a 5% long-term spending rate while shielding annual distributions from fluctuations in its market value:

Spending for current fiscal year = (60% × Spending for previous fiscal year) + [40% × (5% × Endowment market value at the end of previous fiscal year)].

Grides is considering allocating more funds to illiquid investments to capture higher potential returns and is discussing this strategy with senior analyst Don Brodka. Brodka has three related concerns given that the higher allocation to illiquid investments may

  • reduce the liquidity profile of the endowment,

  • induce “drift” in the portfolio’s risk profile in times of market stress, or

  • alter the endowment’s overall risk profile.

Assessing his concerns, Brodka performs a stress test on the portfolio with both current and proposed investments.

Exhibit 1 presents selected data on the university endowment.

Exhibit 1

Selected Data for Kemney University Endowment



Q. Discuss the relevance of the endowment’s spending policy to Brodka’s expressed concerns.

解释：

Solution

In voicing his concerns, Brodka is cautioning that a higher allocation to illiquid investments may have adverse effects on the endowment’s spending rate and risk profile. Kemney University’s spending policy is an example of a geometric smoothing rule, sometimes called the Yale formula. It is intended to bring about a predictable pattern of distributions for better planning of resource deployment through its programs across varying conditions, even as extreme as the 2008 global financial crisis.

While this spending policy would be consistent with an investment objective of achieving long-term returns that support the spending rate while preserving the value of the endowment in real terms over time, the policy design also incorporates a smoothing, countercyclical element. This leads to lower spending rates in a period of sustained strong investment returns but higher spending rates in a protracted weak return environment.

如題。這題對應的是哪個考點？

添加评论
1 个答案

lynn_品职助教 · 2022年06月29日

嗨，从没放弃的小努力你好：


这个考点是endowment’s spending policy，在基础班讲义的110-113页，如下图。视频在基础班private foundations：liabilities and investment horizon1倍速4分钟处。但是答案中提到的geometric smoothing rule是老考纲中的说法（为了避免同学搞混，我就不把内容放在下面了），现在原版书中只在Quinco case里提到了，其实就是hybrid，视频在Case study：Quinco case第一个视频两倍速07:30分处。


----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 1

    关注

  • 1049

    浏览
相关问题

NO.PZ202205190400000101 问题如下 Q. scuss the relevanof the enwment’s spenng polito Broa’s expresseconcerns. SolutionIn voicing his concerns, Broa is cautioning tha higher allocation to illiquiinvestments mhave aerse effects on the enwment’s spenng rate anrisk profile. Kemney University’s spenng poliis example of a geometric smoothing rule, sometimes callethe Yale formulIt is intento bring about a prectable pattern of stributions for better planning of resourployment through its programs across varying contions, even extreme the 2008 globfinancicrisis.While this spenng poliwoulconsistent with investment objective of achieving long-term returns thsupport the spenng rate while preserving the value of the enwment in reterms over time, the polisign also incorporates a smoothing, countercyclicelement. This lea to lower spenng rates in a perioof sustainestrong investment returns but higher spenng rates in a protractewereturn environment. 这道题有点找不到它的重点，不知道是想要说明什么，有什么重要结论需要掌握的吗

2024-06-14 10:51 1 · 回答

NO.PZ202205190400000101 问题如下 Q. scuss the relevanof the enwment’s spenng polito Broa’s expresseconcerns. SolutionIn voicing his concerns, Broa is cautioning tha higher allocation to illiquiinvestments mhave aerse effects on the enwment’s spenng rate anrisk profile. Kemney University’s spenng poliis example of a geometric smoothing rule, sometimes callethe Yale formulIt is intento bring about a prectable pattern of stributions for better planning of resourployment through its programs across varying contions, even extreme the 2008 globfinancicrisis.While this spenng poliwoulconsistent with investment objective of achieving long-term returns thsupport the spenng rate while preserving the value of the enwment in reterms over time, the polisign also incorporates a smoothing, countercyclicelement. This lea to lower spenng rates in a perioof sustainestrong investment returns but higher spenng rates in a protractewereturn environment. 老师好，这道题的考点在哪个视频？？

2024-01-24 13:58 1 · 回答

NO.PZ202205190400000101 问题如下 Q. scuss the relevanof the enwment’s spenng polito Broa’s expresseconcerns. SolutionIn voicing his concerns, Broa is cautioning tha higher allocation to illiquiinvestments mhave aerse effects on the enwment’s spenng rate anrisk profile. Kemney University’s spenng poliis example of a geometric smoothing rule, sometimes callethe Yale formulIt is intento bring about a prectable pattern of stributions for better planning of resourployment through its programs across varying contions, even extreme the 2008 globfinancicrisis.While this spenng poliwoulconsistent with investment objective of achieving long-term returns thsupport the spenng rate while preserving the value of the enwment in reterms over time, the polisign also incorporates a smoothing, countercyclicelement. This lea to lower spenng rates in a perioof sustainestrong investment returns but higher spenng rates in a protractewereturn environment. 老师，题目中要scuss的“the relevanof the enwment’s spenng polito Broa’s expresseconcerns.”，但是增加illiqui资本来就会降低流动性，增加risk，改变risk profile，怎么跟spenng policy关联上呢？答案也没太看懂，答出哪些关键点就可以了呢？

2023-12-23 00:25 1 · 回答

NO.PZ202205190400000101 问题如下 Q. scuss the relevanof the enwment’s spenng polito Broa’s expresseconcerns. SolutionIn voicing his concerns, Broa is cautioning tha higher allocation to illiquiinvestments mhave aerse effects on the enwment’s spenng rate anrisk profile. Kemney University’s spenng poliis example of a geometric smoothing rule, sometimes callethe Yale formulIt is intento bring about a prectable pattern of stributions for better planning of resourployment through its programs across varying contions, even extreme the 2008 globfinancicrisis.While this spenng poliwoulconsistent with investment objective of achieving long-term returns thsupport the spenng rate while preserving the value of the enwment in reterms over time, the polisign also incorporates a smoothing, countercyclicelement. This lea to lower spenng rates in a perioof sustainestrong investment returns but higher spenng rates in a protractewereturn environment. 这个题是哪种题啊，课后题？mock？押题

2023-11-27 22:09 1 · 回答

NO.PZ202205190400000101问题如下Q. scuss the relevanof the enwment’s spenng polito Broa’s expresseconcerns.SolutionIn voicing his concerns, Broa is cautioning tha higher allocation to illiquiinvestments mhave aerse effects on the enwment’s spenng rate anrisk profile. Kemney University’s spenng poliis example of a geometric smoothing rule, sometimes callethe Yale formulIt is intento bring about a prectable pattern of stributions for better planning of resourployment through its programs across varying contions, even extreme the 2008 globfinancicrisis.While this spenng poliwoulconsistent with investment objective of achieving long-term returns thsupport the spenng rate while preserving the value of the enwment in reterms over time, the polisign also incorporates a smoothing, countercyclicelement. This lea to lower spenng rates in a perioof sustainestrong investment returns but higher spenng rates in a protractewereturn environment.This lea to lower spenng rates in a perioof sustainestrong investment returns but higher spenng rates in a protractewereturn environment. Smoothing的效果不应该是在弱环境下降低spenng rate在强势经济环境下提高spenng rate吗？

2023-11-10 10:02 1 · 回答