NO.PZ202206210100000303
问题如下：
Whichof Radell’s statements regarding asset allocation Option 1 is most appropriate?
选项：
A.Statement1
B.Statement 2
C.Statement 3
解释：
Cis correct. Statement 3 is most appropriate. The 20% allocation toemerging market equity is too high given the company’s goals and objectives andthe sensitivity of revenues to the African economy. A weak emerging marketeconomic environment is likely to stress the pension fund’s investment inemerging market equity and its revenue from its emerging market business simultaneously.Thus, the high volatility of emerging market equity, its limiteddiversification potential relative to global equity, and the sensitivity of thefirm’s revenues to emerging market economies make a large, over-weightedallocation to the asset class inconsistent with the firm’s objective ofminimizing fluctuations in year-to-year required contributions.
Ais incorrect. The Sharpe ratios for the current allocation, Option 1, andOption 2 are 0.17, 0.19, and 0.175, respectively, with Option 1 having thehighest Sharpe ratio. The Sharpe ratio, while providing a means to rank choiceson the basis of return per unit of volatility, does not capture othercharacteristics that are important to Sabonete, such as funded ratio, timehorizon, and predictability of contributions.
Bis incorrect. Sabonete’s land holdings outside of the pension fund are notconsidered a part of the extended balance sheet for the SPP and should notaffect its asset allocation decisions.
Sabonete’s recentacquisition of land in Africa are outside of the pension fund and, therefore,should not be considered a part of the extended balance sheet for the SPP andshould not affect its asset allocation decisions.
为什么land holding不影响asset allocation呢？
