CFA L3 alternvative

NO.PZ202206260100000104 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.”QuestionWhiof Chan’s comments on monitoring alternative investments is most likely correct? Those regarng: A.performanbenchmarks. B.lays in assessing performanevaluation. C.the impaof other investors’ actions on performance. SolutionC is correct. Many alternative investments use limitepartnership or similstructures in whieainvestor owns a fairly large portion of the fun Strategies often involve investment in illiquiassets. If a few investors pull out of a fun managers cforceto sell positions saantageous times, resulting in poor performanfor all investors. Remaining positions might also particularly illiquiA is incorrect. Peer evaluations are not a goosubstitute for market priinxes because it is fficult to intify a peer group with the same investment strategy the manager being evaluate Furthermore, the laof stanr for constructing subenchmarks results in the same manager’s performanbeing assessein very fferent ways fferent evaluators.B is incorrect. Although it is fficult to assess the performanof investment progrthis not fully investe(sua private equity investment or a rereestate investment), investors must still monitor market contions to ensure the investment progrremains appropriate. 我记得讲课的时候说了两种方式都可以，也没说peer group不好找的事？还是我记错了？