NO.PZ202206210200000106
问题如下：
Chattahoochee Advisers Case ScenarioMiller tells Browne, “Chattahoochee provides its services to relatively small institutional investors, typically those with assets of USD20 million–USD100 million. Your primary goal is to attract new clients in our three primary target areas: insurance companies, defined benefit pension funds, and endowments and foundations.”
Miller continues, “The asset portfolios of our clients can vary widely. How well do you understand the differences between the investment approaches used by various institutions?”
Browne replies, “I’m familiar with a number of them. For our clients with long-term horizons and relatively low liquidity needs, we could recommend the Canadian model, which entails a high exposure to alternative investments. Given their primary investment objectives, pension funds and insurance companies are usually well suited to the liability-driven investing model.”
Browne asks Miller for some advice on developing a proposal for a potential client, the defined benefit pension plan for Tucker Manufacturing. Tucker is a publicly traded firm whose stock is a part of the Russell 2000 Index. The firm has been in business for 82 years and has a Fitch credit rating of BBB+.
The plan, which does not require any contributions from employees, has 160 retirees and 280 active employees. Employees vest fully after six years of service. The average age of active employees is 54 years, their average length of service is 26 years, and employees may retire and begin to collect benefits after 30 years of service. Benefits are based on years of service and the average salary during the last five years of service. Retirees receive a cost-of-living adjustment based on changes in the consumer price index. Prior to retiring, employees can choose to receive a lump sum payment in place of future pension benefits.
The asset allocation of the portfolio is
37% publicly traded equity, mostly small-cap growth equities, about half of which is in Tucker common stock, which is considered a growth stock and pays no dividends;
29% private equity, invested in two recently launched funds; and
34% directly owned real estate, consisting of vacant land that is expected to be developed in 15–20 years.
The current value of plan assets is USD109 million. Values are calculated using market prices where available and third-party appraisals or valuations where market prices are unavailable or stale. The value of plan liabilities is USD93 million, which is calculated by discounting projected benefit payments using a discount rate equal to the average total return the current asset allocation would have earned over the last 15 years.
Browne tells Miller that Tucker Manufacturing’s management is happy the value of plan assets exceeds the value of plan liabilities by USD16 million. The company anticipates recording an asset on its balance sheet called “plan surplus” in this amount. She asks him whether he sees any problems with this idea.
Miller reminds Browne that her proposal should indicate any risks present in the Tucker pension fund that would be reduced by the Chattahoochee investment proposal. Browne responds, “I have been evaluating a number of potential risk sources and have identified some concerns that I will raise.”
Browne also shares her proposal for a revised investment objective for the Tucker pension:
The primary objectives of the Tucker Manufacturing pension plan are to maintain an asset portfolio that is duration matched to plan liabilities and over the long term earns a return equal to the inflation rate plus the growth rate in salaries of Tucker Manufacturing employees. The secondary objectives of the plan are to prevent being underfunded and avoid increasing required sponsor contributions above their historical level.
选项：
A.Yes B.No, the secondary objectives are incompatible. C.No, the proposed required return is inappropriate.解释：
SolutionC is correct. The proposed required return is inappropriate. For any defined benefit plan, the required return should take into account the anticipated change in future liability cash flows and the change in valuation of those cash flows. The cash flows are affected by changes in active employee salaries, changes in active employee longevity, and the rate of inflation (retired employees). The valuation of liability cash flows will change as market interest rates change. In general, the required return for plan assets should exceed the discount rate on plan liabilities. The required return specified in the proposal does not reflect appropriate market interest rates used to discount liability cash flows (investment-grade long-term bond yields) and double counts inflation, which is a primary factor in active employee salary increases.
A is incorrect. The proposed required return is inappropriate.
B is incorrect. The secondary objectives are not incompatible. It is common for a plan that is currently overfunded to want to maintain status quo, and it is common to do so by engaging in ways of minimizing the volatility of the surplus. Most funds also act to minimize the likelihood the plan sponsor would have to increase its contributions; indeed, many will take on additional asset risk to increase plan asset expected returns and decrease sponsor expected contributions. Although these objectives are compatible, they will have to be balanced against one another.
我选的A
