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金珍荣 · 2023年12月10日

policy rate

  1. CFA III
  2. 机构IPS

NO.PZ2019100901000016

问题如下：

The Prometheo University Scholarship Endowment (the Endowment) was established in 1950 and supports scholarships for students attending Prometheo University. The Endowment’s assets under management are relatively small, and it has an annual spending policy of 6% of the five-year rolling asset value.

Prometheo University recently hired a new chief investment officer (CIO). The CIO directs her small staff of four people to implement an investment policy review. Historically, the endowment has invested 60% of the portfolio in US equities and 40% in US Treasuries. The CIO’s expectation of annual inflation for the next 10 years is 2.5%.

The CIO develops nominal 10-year return assumptions for US Treasuries and US equities, which are presented in Exhibit 1.

Discuss whether the current investment policy is appropriate given the Endowment’s annual spending policy.

选项：

解释：

GUIDELINE ANSWER:

●●The policy is not appropriate.

●●The expected real return of 3.54% is less than the spending policy rate of 6%.

●●Therefore, the current allocation and investment objectives are not sustainable.

The nominal expected return on the current portfolio, according to the nominal return assumptions in Exhibit 1, is 6.04% per year (0.6 × 7.4% + 0.4 × 4.0% = 6.04%). The expected real return is approximately 3.54% (6.04% – 2.5% = 3.54%), which is below the 6% spending rate and the stated objective of a 6% real return. Therefore, this real return is not sufficient to meeting the spending policy, which makes the Endowment’s goals unsustainable. The Endowment will need to change its asset allocation to earn higher returns and/or lower its spending policy rate.

这个题给出的policy rate=6%，怎么看出来就是real return 而不是nominal return呢？

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1 个答案

lynn_品职助教 · 2023年12月11日

嗨，努力学习的PZer你好：


这个题给出的policy rate=6%，怎么看出来就是real return 而不是nominal return呢？


这个问题其实我当时学习的时候也感到奇怪，反复看过书和做题后发现，CFA的出题人尤其是三级，他会有一些“假设”暗含在一些表述里，或者直接认为是背景知识，（但是真正的考题这样的情况较少，因为有一些背景是美国独有的，考虑到了全球考生）


这里是这样，我们所有的Endowment，都有一个目标是：

Maintain the purchasing power in perpetuity and meanwhile supporting the university's annual spending

也就是Endowment不但要支持大学的项目，还要保证能永续存在、保证购买力，如下图中讲义所说。

为了实现这个目标，Spending rate就是Real return。理解如下：


要实现上面这个目标的话，Endowment的Asset base，首先要实现一个Inflation的收益，这样能够保证资产的购买力不变，这样Asset base变为：

Asset ×（1+inflation）；

然后，在上面这个基础上，大学每年开支Asset base的6%，为了保证基金永续，我们不能花费基金本金，所以花费的这6%必须是纯收益。

所以花费为：Asset×（1+inflation）× 6%；

发现Asset base已经对inflation进行过调整了，所以这6%一定是Real return，不包含Inflation。


只有每年Endowment的Real return大于等于Spending rate时，才能保证花费的不是本金，不伤害本金额度，保证永续，参考下面讲义：


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2019100901000016 问题如下 The Prometheo University Scholarship Enwment (the Enwment) westablishein 1950 ansupports scholarships for stunts attenng Prometheo University. The Enwment’s assets unr management are relatively small, anit hannuspenng poliof 6% of the five-yerolling asset value.Prometheo University recently hirea new chief investment officer (CIO). The CIO rects her small staff of four people to implement investment polireview. Historically, the enwment hinveste60% of the portfolio in US equities an40% in US Treasuries. The CIO’s expectation of annuinflation for the next 10 years is 2.5%.The CIO velops nomin10-yereturn assumptions for US Treasuries anUS equities, whiare presentein Exhibit 1.scuss whether the current investment poliis appropriate given the Enwment’s annuspenng policy. GUILINE ANSWER:●●The poliis not appropriate.●●The expecterereturn of 3.54% is less ththe spenng polirate of 6%.●●Therefore, the current allocation aninvestment objectives are not sustainable.The nominexpectereturn on the current portfolio, accorng to the nominreturn assumptions in Exhibit 1, is 6.04% per ye(0.6 × 7.4% + 0.4 × 4.0% = 6.04%). The expecterereturn is approximately 3.54% (6.04% – 2.5% = 3.54%), whiis below the 6% spenng rate anthe stateobjective of a 6% rereturn. Therefore, this rereturn is not sufficient to meeting the spenng policy, whimakes the Enwment’s goals unsustainable. The Enwment will neeto change its asset allocation to earn higher returns anor lower its spenng polirate. the expectenominreturn =0.6x0.074+0.4x0.04=6.04%the expecterereturn=6.04%-2.5%=3.54%, whiis less thannuspenng poliof 6% .the current investment poliis not appropriate given the Enwment’s annuspenng policy.

2023-05-15 22:55 1 · 回答

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