NO.PZ202205190400000202
问题如下:
The
investment committee also asks Bookman to investigate whether the endowment
should increase its allocation to illiquid investments to take advantage of
higher potential returns. The endowment’s liquidity profile policy stipulates
that at least 30% of investments must be classified as liquid to support
operating expenses; no more than 40% should be classified as illiquid. Bookman
decides to perform a bottom-up liquidity analysis to respond to the committee.
选项:
解释:
SolutionTo operationalize the concepts represented in the liquidity budget, it is appropriate to analyze the underlying liquidity characteristics of the portfolio investments and monitor these characteristics over time. The analysis should look beyond the broad definition of asset classes to the underlying investments used for exposure as different investments within the same asset class may have very different liquidity profiles.
In performing a bottom-up liquidity analysis on the State Tech endowment, Bookman multiplies each asset class allocation by its matching liquidity classification and then aggregates across asset classes. Based on this analysis, 44.5% of investments are currently classified as liquid and 28.5% are classified as illiquid, calculated as follows:Investments classified as liquid = (Cash allocation × %Liquid) + (Fixed-income allocation × %Liquid) + (Public equity allocation × %Liquid) Investments classified as liquid = (1% × 100%) + (24% × 100%) + (39% × 50%) = 44.5%. Investments classified as illiquid = (Private equity allocation × %Illiquid) + (Real asset allocation × % Illiquid) Investments classified as illiquid = (21% × 100%) + (15% × 50%) = 28.5%.
The liquid investment allocation of 44.5% is well above the 30% liquid requirement, and the 28.5% illiquid investment allocation is well below the 40% illiquid limit. As a result, there is enough capacity to re-allocate more funds from liquid investments into illiquid investments to take advantage of the higher potential returns. Thus, Bookman can recommend that shift.
请问这是基础班讲义上的哪一个考点?