NO.PZ202206260100000101 问题如下 Ava ChCase ScenarioAva Chan, age 52, is a high-net-worth investor resing in Vancouver, Cana. Four years ago, the logistifirm she co-founhinitipublic offering. One yeago, Chretirewhen her obligation to work for the company anto maintain ownership of its stoen to spentime with her family anto manage her investment portfolio, valueapproximately Can$425 million. Her investment aiser, EthGill, hextensive experienworking with publicly traequity anfixeincome portfolios. With Gill’s assistance, Chsolher concentratestoholngs ancreatea well-versifieportfolio with approximately 70% in globequities, 20% in reestate, an10% in investment-gra fixeincome. The equity anfixeincome portions of the portfolio consist entirely of inx exchange-trafun (ETFs), anthe reestate portfolio consists of a well-versifieselection of REITs.Chan’s investment plans for the coming yeare threefol A Can$25 million portfolio is intento provi annuretirement income of Can$1 million for her anher spouse. Trusts of Can$50 million eaare to establishefor her two chilen. The remainr of her wealth will useto establish a charitable fountion to provi annugrants in support of environmentpreservation causes.Chmeets with Gill to scuss potentichanges to her investment strategy anportfolio—specifically, the aition of more alternative investments in the charitable fountion. She tells him, “we separate my current portfolio into the three trusts anthe fountion later this year, my intention is for the trust portfolios to have the same asset allocation my current portfolio but to shift approximately 50% of the charitable fountion’s portfolio into alternative investments, leaving the remainr in the existing asset allocation. It seems ththe growth in the number of managers of these assets hma it mueasier for investors like me to access top-tier managers. I unrstanthshifting the fountion portfolio into alternative investments will astically rethe liquity of those positions, but I n’t believe this will a concern, given the long-term horizon of the fountion. Investing in these assets will certainly require you to spenmore time concting e ligence, but baseon the aisory work you’ve ne for me in the past anyour experience, I’m confint of your ability to this.”Gill respon, “It will particularly important for the fountion thI look for managers who offer full transparenregarng their holngs anstrategies, so the fountion’s investment committee cbest unrstanthe risk anreturn characteristiof the entire portfolio. Also, because the current portfolio is appropriate for investor who believes financimarkets are efficient, it will important for the investment committee anme to intify markets we believe are not completely efficient anmatthose views to alternative investment procts anstrategies thare most likely to benefit from those perceiveinefficiencies.”Gill also remin Chan, “We have usea trationmean–varianapproato optimize your current portfolio allocation, but this will not appropriate for a portfolio thinclus substantiallocations to alternative investments. Returns to trationasset classes are normally stribute wherereturns to alternative investments tento exhibit non-normality. For alternative investments, even the most basic estimate of risk, the stanrviation of returns, is likely to measureincorrectly, because of the wreturns are calculateanreporte A common approato portfolio optimization when alternative assets are involveis a two-step process thfirst uses a mean–variananalysis for the trationasset classes anthen incorporates alternative assets using more sophisticatetechniques, suMonte Carlo simulation.”Chtells Gill, “My stues over the past yehave ma me realize investments in alternative investments will require fferent kin of monitoring from the trationasset classes in whiI’m currently investe Regarng performanbenchmarks, we will likely have to rely on peer comparisons, whiare goosubstitutes for the market inxes we use for trationasset classes. For many alternative investment classes, particularly private equity anrereestate investment, we will not able to assess the performanuntil the progris fully investe whictake many years. Furthermore, unlike trationasset classes, for alternative investments, we neeto worry about how the actions of other investors affethe performanof the investments we make.”QuestionIn her scussion with Gill about shifting fountion portfolio assets into alternative investments, Chis most likely correabout: A.e ligence. B.liquity issues. C.access to managers. SolutionB is correct. A shift into private equity, hee fun, rereestate, ansimilinvestments will rethe liquity of the portfolio, but 50% of the charitable fountion portfolio will remain in other, more liquiasset classes. The fountion is intento provi ongoing annugrants, so these liquiinvestments shoulsufficient to meet ongoing spenng nee.A is incorrect. It is true thinvestment in private equity, hee fun, rereestate, ansimilinvestments will require substantie ligenefforts thwere not requirefor investments in ETFs anREITs. Chan, however, hno evinthGill hthe ability to consuefforts because his work with her in the past hinvolvetrang anbuilng portfolios of liqui publicly trasecurities.C is incorrect. It is true ththe number of provirs of private equity, hee fun, rereestate, ansimilinvestments hgrown substantially over time; however, access to top-tier managers is quite limitebecause managers of alternative investments tento capacity constraineanmany alternative investment strategies have limitemarket volume. 如题
2023-08-25 16:01
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