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pepperhyp · 2023年08月23日

关于asset size

  1. CFA III
  2. 机构IPS

NO.PZ2023010409000024

问题如下：

The hypothetical Ivy University Endowment was established in 1901 and supports Ivy University. The endowment supports about 40% of the university’s operating budget. Historically, the endowment has invested in a traditional 20% public US equities, 80% US Treasury portfolio, and it is entirely implemented through passive investment vehicles.

The investment staff at the endowment is relatively small. With the appointment of a new chief investment officer, the investment policy is being reviewed. Endowment assets are US$250 million, and the endowment has a spending policy of paying out 5% of the 3-year rolling asset value to the university.

The new CIO has engaged an investment consultant to assist her with the investment policy review. The investment consultant has provided the following 10-year (nominal) expected return assumptions for various asset classes: US equities: 7%, Non-US equities: 8%, US Treasuries: 2%, hedge funds: 5%, private equity: 10%. In addition, the investment consultant believes that the endowment could generate an additional 50 bps in alpha from active management in equities. Expected inflation for the next 10 years is 2%.

The new CIO was at a previous endowment that invested heavily in private investments and hedge funds and recommends a change in the investment policy to the board of Ivy University Endowment.

She recommends investing 30% in private equity, 30% in hedge funds, 30% in public equities (15% US and 15% non-US with active management), and 10% in fixed income. This mix would have an expected real return of 5.1% based on the expected return assumptions provided by the investment consultant.

Should the board approve the new CIO’s recommendation? Provide your reasoning.

选项：

解释：

The board should reject the CIO’s recommendation. This is a very significant departure from the current practice. The size of the investment team is small, and they have no prior experience in managing hedge fund and private equity portfolios (except for the new CIO). Given the size of the endowment, it is unlikely to have access to top quartile managers in the hedge fund and PE spaces.

老师好，本题认为250million asset size是small的。

想问下多大的asset size是large？这个算默认的条件吗？

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lynn_品职助教 · 2023年08月24日

嗨，努力学习的PZer你好：


是书上有一个参考,


个人投资者asset size<$25m、机构投资者asset size<$500m, 归为smaller asset owner。


即机构投资者以500 million 为分界点：小于为Small，大于为Relatively larger；但是这个指标在机构IPS这里不是硬性指标，仅为参考数据。


个人投资者以25 million 为分界点。


具体可以参考AA的讲义：



这道题主要还是在考虑alt的问题


这个可以参考原版书给出来的实务统计数据。


首先是随着基金规模的增加，alternatives的比例会逐渐上升。

但最大的基金群体（Over 1 billion），Alternatives的比例会在50%左右。

对于非常小的基金，比例一般在10%左右。

所以可以理解成在10%~50%左右的Alternatives是可以接受的。


比例如果超了50%的话，可能就要引起我们的注意了，就要结合题干条件，看看流动性是否可以满足，风险承受能力是否可以接受，是否有能力投资alternatives等等。题目一般会有比较明确的信息帮助我们作出选择的。

如果比例太小的话，也需要结合题干条件，看看收益目标是否可以满足等。

基本上，这类题目会给出比较明显的区别，我们结合题干信息就可以判断出alternatives的比例是否合适。


这道题中推荐的投资比例是：

30% in PE（Alternatives），30% in hedge funds（Alternatives），30% in上市公司股票，10% in 固收

She recommends investing 30% in private equity, 30% in hedge funds, 30% in public equities (15% US and 15% non-US with active management), and 10% in fixed income. 


那这么算下来，他们基金在Alternatives的投资就是60%，这个比例过高。

然后可以结合他们基金的特点，来分析60%的Alternatives过于激进，不适合这个Endowment。


具体来看：


首先是Alternatives是专业化较高的投资，需要有专业的投研人员，从题干看，他们基金的投研人员太少了

The investment staff at the endowment is relatively small.

所以可以看出，他们公司可能不具备自己投资Alternatives的能力。

----------------------------------------------
努力的时光都是限量版，加油！

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