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chbe · 2023年09月01日

externally managed assets

NO.PZ2023010409000006

问题如下:

During the meeting, Spintop states that the Fund has an annual spending policy of paying out 4% of the Fund’s three-year rolling asset value to Wolf University.

The Fund has a small investment staff with limited experience in managing alternative assets and currently uses the Norway model for its investment approach. Azarov suggests a change in investment approach by making an allocation to externally managed alternative assets—namely, hedge funds and private equity. Ten-year nominal expected return assumptions for various asset classes, as well as three proposed allocations that include some allocation to alternative assets, are presented in Exhibit 1.


Expected inflation for the next 10 years is 2.5% annually.

Which proposed allocation in Exhibit 1 would be most appropriate for the Fund given its characteristics?

选项:

A.

Allocation 1

B.

Allocation 2

C.

Allocation 3

解释:

C is correct. Allocation 3 is the most appropriate allocation for the Fund. The annual expected returns for the three allocations are as follows:

Allocation 1: Expected return = (0.45 × 4.1%) + (0.40 × 6.3%) + (0.10 × 7.5%) +(0.05 × 9.1%)= 5.57%.
Allocation 2: Expected return = (0.10 × 4.1%) + (0.15 × 6.3%) + (0.15 × 7.5%) +(0.30 × 5.0%) + (0.30 × 9.1%)= 6.71%.
Allocation 3: Expected return = (0.13 × 4.1%) + (0.32 × 6.3%) + (0.40 × 7.5%) +(0.05 × 5.0%) + (0.10 × 9.1%)= 6.71%.
The real return for Allocation 1 is 3.07% (= 5.57% – 2.50%), and the real return for Allocation 2 and Allocation 3 is 4.21% (= 6.71% – 2.50%).

Therefore, Allocation 1 is not appropriate because the expected real rate of return is less than the annual spending rate of 4%. With expected spending at 4%, the purchasing power of the Fund would be expected to decline over time with Allocation 1.

Allocations 2 and 3 both offer an expected real rate of return greater than the annual spending rate of 4%. Thus, the purchasing power of the Fund would be expected to grow over time with either allocation. However, Allocation 3 is more appropriate than Allocation 2 because of its lower allocation to alternative assets (hedge funds and private equity). The total 60% allocation to alternative assets in Allocation 2 is well above the 15% allocation in Allocation 3 and is likely too high considering the Fund’s small investment staff and its limited experience with managing alternative investments. Also, given the Fund’s relatively small size of assets under management ($200 million), access to top hedge funds and private equity managers is likely to be limited.

讲义18页写了内部人员不专业/不充足应该outsource to external manager么?麻烦问下为什么这里externally managed assets反而是员工不专业也不行啊?external manager 和externally managed assets不是一样的意思么?谢谢老师

1 个答案

lynn_品职助教 · 2023年09月01日

嗨,努力学习的PZer你好:


讲义18页写了内部人员不专业/不充足应该outsource to external manager么?麻烦问下为什么这里externally managed assets反而是员工不专业也不行啊?external manager 和externally managed assets不是一样的意思么?谢谢老师


是一样的意思,这道题目的角度是告诉我们,outsourse虽然是小规模基金解决投资alternatives的一种方法,但是这种方法不是完美无缺的。


这个知识点我们要了解这些内容。


首先肯定是不适合自己管理的,因为经验、人手不足。


但是外包的时候需要注意,外部的基金经理非常多,即便是外包,选择合适的alternatives fund manager也是一门技术。


像这道题目一样,有几道题是从小规模也无法聘请到好的研究alternative investment团队这个角度考察了,主要是要看题干,下面举几个例子。


题干有说他们团队不具备投资另类产品的能力,原文:The Fund has a small investment staff with limited experience in managing alternative assets 

此外,因为他们是小基金,很难聘请得到top manager来管理另类投资;所以他们投另类资产也是有一些限制的。


从题干的with limitted experence in managing alternatives可以看出,这道题外包可能面临一定的挑战。


因此,结论是小规模基金适合外包,但是做题时要小心看题干,无法聘请到好的研究alternative investment团队是一个重要考点。



这道题的最主要问题还有一个,即Alternatives的比例太高了。


小基金投资60%的Alternatives肯定不行的,因为规模太小了,一来是他们没有alernatives的经验(外包也需要相关知识),二来是他们的规模太小, 高比例在Alternatives上风险过高。第三点是他们没办法接触到太好的基金经理。


从实务数据来看,一般非常大的基金,最大的系列(超过1billion的基金),此类基金投资altenatives的比例一般在50%~60%左右,而最小规模的基金,一般在10%左右。所以本题的小基金60%过高。如果调整成30%,在满足收益的条件下,也许可以考虑Portfolio 2。


如果几个Portfolio取得的收益是一样大的,我们优选选择Alternatives比例小的。这样尽可能避免自己不擅长的领域(or风险过大的领域)。


Alternative更难打理主要体现在:


投资Alternative需要具备的专业知识、要求较高,所以如果是Internally managed,需要具备投资的水平,需要具有Highly-skilled employees,小基金很难达到;


即便是外包,也需要具备筛选外部基金经理的能力;同时,Top-ranked的Alternative基金经理和Low-skilled的Alternative基金经理,他们带来的收益差距太大了;


即便是外包,一般小资金的Fund,也很难找到Top-skilled的Alternative基金经理帮他们打理;

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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2023-12-30 15:54 1 · 回答