NO.PZ2018031301000005
问题如下：
Viktoria Johansson is newly appointed as manager of ABC Corporation’s pension fund. The current market value of the fund’s assets is $10 billion, and the present value of the fund’s liabilities is $8.5 billion. The fund has historically been managed using an asset-only approach, but Johansson recommends to ABC’s board of directors that they adopt a liability-relative approach, specifically the hedging/return-seeking portfolios approach. Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. Exhibit 1 presents three potential asset allocation choices for the fund.
Exhibit 1 Potential Asset Allocations Choices for ABC Corp’s Pension Fund
Determine which asset allocation in Exhibit 1 would be most appropriate for Johansson given her recommendation. Justify your response.
选项：
解释：
■ Allocation 3 is
most appropriate.
■ To fully hedge the fund’s liabilities, 85% ($8.5 billion/$10.0 billion) of
the fund’s assets would be linked to index-linked government bonds.
■ Residual $1.5 billion surplus would be invested into a return-seeking portfolio.
The pension fund currently has a surplus of $1.5 billion ($10.0 billion – $8.5 billion). To adopt a hedging/return-seeking portfolios approach, Johansson would first hedge the liabilities by allocating an amount equal to the present value of the fund’s liabilities, $8.5 billion, to a hedging portfolio. The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities, which in this case are the index-linked government bonds.
So, Johansson should allocate 85% ($8.5 billion/$10.0 billion) of the fund’s assets to index-linked government bonds. Te residual $1.5 billion surplus would then be invested into a return-seeking portfolio. Therefore, Allocation 3 would be the most appropriate asset allocation for the fund because it allocates 85% of the fund’s assets to index-linked government bonds and the remainder to a return seeking portfolio consisting of corporate bonds and equities.
主要有以下两个问题请教一下老师：
- 如果在考试中，题目中没有说明pension的状态（frozen等等的情况），需要考虑pension的liquidity needs吗？
- 对于“the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds”这句话要怎么理解呢？
我的解题思路是这样的，麻烦老师看下主要问题：
- 首先看到liability的占比是85%，排除allocate 2，在allocation1和3之间选择
- 对 the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds 这句话，我理解为了国债利率是负债端收益率的主要影响因素
- allocation1和3中都有较大比例投资于index-linked government bonds，可以cover liability，同时考虑到pension可能还会有liquid needs，所以allocation配了cash，更合适
