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luojy · 2024年05月08日

为什么不直接相加计算呢？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000008

问题如下：

A few months later, Carsonreceives a phone call from Hamidah. She’s now on the board of trustees of ArticFoundation for Medical Research (AFMR). AFMR was established to support variousmedical research initiatives. She is very excited and asks Carson to helpidentify the return objective of AFMR’s portfolio. Osaka notes the following:

• AFMR’s overallinvestment objective is to maintain its portfolio’s real purchasing power afterdistributions.

• The risk-freerate is 4.0%.

• An expectedinflation rate is 3.5%.

• The portfolio’sstandard deviation is 15.0%.

• The cost ofearnings investment returns is 50 bp.

• AFMR targets a5.5% annual distribution of assets.

AFMR’s returnobjective is closest to: (2020 mock PM)

选项：

A.

9.50%

B.

9.74%

C.

10.27%

解释：

The calculation is (1.055) (1.035) (1.005) – 1 = 9.74%.

AFMR’s assets should be invested with the objective of earning a nominal average annual return of 9.74%. This level reflects a spending rate of 5.5%, an expected inflation rate of 3.5% and a 50 bp cost of earning investment returns.

为什么不直接相加计算呢？

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已采纳答案

lynn_品职助教 · 2024年05月09日

嗨，从没放弃的小努力你好：


加法和乘法都是可以的，


乘法要精准一点，协会貌似更喜欢考乘法


对于目标是Support in perpetuity、并且Maintain the purchasing power（real value）的Endowment/Foundation，计算Required return时，公式是：


近似算：Nominal return = spending rate + inflation + management fee


也可以用乘法算精确的：


（1+Spending）（1+Inflation）（1+ management fee）=（1+nominal return） 

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