开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

沐沐的方盒 · 2024年05月23日

配置1中cash和government bond加起来比例不也是85%吗？为什么不能选1？

  1. CFA III
  2. Asset Allocation

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.

如题

添加评论
1 个答案
已采纳答案

Lucky_品职助教 · 2024年05月24日

嗨，努力学习的PZer你好：


同学你好：


The two-portfolio approach 包括 hedging portfolio 和 return-seeking portfolio。hedging/return-seeking 首先要考虑的是hedging portfolio，只有liabilities全部覆盖了，多出来的部分才能进行return-seeking。

所以在传统的hedging/return-seeking方法下，一定是 overfunded ，否则没有多余的部分进行return-seeking。因为liabilities已经全部覆盖了，也就是说只要有未来现金流的流出，hedging portfolio这部分就有现金流的流入，完全匹配上了，因此return-seeking的部分可以放心大胆的投资，不需要再保守了。


现在fund liabilities占 85% ，并且文中说 Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. 也就是说能够很好地匹配fund liabilities的是 index-linked government bonds， 而Allocation 3 的 index-linked government bonds 占比正好是85%，所以最合适。

index-linked government bonds 通常是与CPI指数挂钩的，也就是说可以抗通胀，cash虽然很稳健但是抗不了通胀。另外，既然是债券，定期是可以拿到coupon的，投资cash没有coupon，所以不能跟fund liability的现金流相匹配。这里的匹配是现金流完全对应上的才是匹配。


Allocation 1的 index-linked government的占比是70%，少于85%，虽然 equity 投的更多，但是不能很好的hedging liabilities。


另外这道题还有一个非常关键的地方：“the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds”

这句话很重要，是给出信息点的句子，这句话的意思是负债和抗通胀债券的收益的驱动因素是一样的，即收益率一样，不会出现hedging portfolio就是抗通胀债券的现值低于liability现值的情况。

也就是说能够很好地匹配fund liabilities的是 index-linked government， 而Allocation 3 的 index-linked government占比正好是85%，所以最合适。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 189

    浏览
相关问题

NO.PZ2018031301000005 问题如下 Viktoria Johanssonis newly appointemanager of ACorporation’s pension fun The currentmarket value of the funs assets is $10 billion, anthe present value of thefuns liabilities is $8.5 billion. The funhhistorically been managesing asset-only approach, but Johansson recommen to ABC’s boarofrectors ththey apt a liability-relative approach, specifically theheing/return-seeking portfolios approach. Johansson assumes ththe returnsof the funs liabilities are iven changes in the returns of inx-linkeovernment bon. Exhibit 1 presents three potentiasset allocation choicesfor the funExhibit 1 PotentiAsset Allocations Choicesfor ACorp’s Pension Funetermine whichasset allocation in Exhibit 1 woulmost appropriate for Johanssongiven her recommention. Justify your response. ■ Allocation 3 ismost appropriate.■ To fully hee the funs liabilities, 85% ($8.5 billion/$10.0 billion) ofthe funs assets woullinketo inx-linkegovernment bon.■ Resi$1.5 billion surplus woulinvesteinto a return-seeking portfolio.The pension funcurrently ha surplus of $1.5 billion ($10.0 billion – $8.5billion). To apt a heing/return-seeking portfolios approach, Johanssonwoulfirst hee the liabilities allocating amount equto the presentvalue of the funs liabilities, $8.5 billion, to a heing portfolio. Theheing portfolio must inclu assets whose returns are iven the samefactors thive the returns of the liabilities, whiin this case are theinx-linkegovernment bon.So, Johansson shoulallocate 85% ($8.5 billion/$10.0 billion) of the funsassets to inx-linkegovernment bon. Te resi$1.5 billion surplus woulhen investeinto a return-seeking portfolio. Therefore, Allocation 3 woule the most appropriate asset allocation for the funbecause it allocates 85%of the funs assets to inx-linkegovernment bon anthe remainr to areturn seeking portfolio consisting of corporate bon anequities. 老师您好，昨天已经有老师解答heing/return-seeking应该投资两个portfolios，我能理解这个题目的答案，但是为什么在这个题里不能够分开投资heing和return-seeking portfolio？

2024-06-28 23:30 1 · 回答

NO.PZ2018031301000005 问题如下 Viktoria Johanssonis newly appointemanager of ACorporation’s pension fun The currentmarket value of the funs assets is $10 billion, anthe present value of thefuns liabilities is $8.5 billion. The funhhistorically been managesing asset-only approach, but Johansson recommen to ABC’s boarofrectors ththey apt a liability-relative approach, specifically theheing/return-seeking portfolios approach. Johansson assumes ththe returnsof the funs liabilities are iven changes in the returns of inx-linkeovernment bon. Exhibit 1 presents three potentiasset allocation choicesfor the funExhibit 1 PotentiAsset Allocations Choicesfor ACorp’s Pension Funetermine whichasset allocation in Exhibit 1 woulmost appropriate for Johanssongiven her recommention. Justify your response. ■ Allocation 3 ismost appropriate.■ To fully hee the funs liabilities, 85% ($8.5 billion/$10.0 billion) ofthe funs assets woullinketo inx-linkegovernment bon.■ Resi$1.5 billion surplus woulinvesteinto a return-seeking portfolio.The pension funcurrently ha surplus of $1.5 billion ($10.0 billion – $8.5billion). To apt a heing/return-seeking portfolios approach, Johanssonwoulfirst hee the liabilities allocating amount equto the presentvalue of the funs liabilities, $8.5 billion, to a heing portfolio. Theheing portfolio must inclu assets whose returns are iven the samefactors thive the returns of the liabilities, whiin this case are theinx-linkegovernment bon.So, Johansson shoulallocate 85% ($8.5 billion/$10.0 billion) of the funsassets to inx-linkegovernment bon. Te resi$1.5 billion surplus woulhen investeinto a return-seeking portfolio. Therefore, Allocation 3 woule the most appropriate asset allocation for the funbecause it allocates 85%of the funs assets to inx-linkegovernment bon anthe remainr to areturn seeking portfolio consisting of corporate bon anequities. 请问此类题目的答题思路是什么样的？

2024-06-15 15:35 1 · 回答

NO.PZ2018031301000005 问题如下 Viktoria Johanssonis newly appointemanager of ACorporation’s pension fun The currentmarket value of the funs assets is $10 billion, anthe present value of thefuns liabilities is $8.5 billion. The funhhistorically been managesing asset-only approach, but Johansson recommen to ABC’s boarofrectors ththey apt a liability-relative approach, specifically theheing/return-seeking portfolios approach. Johansson assumes ththe returnsof the funs liabilities are iven changes in the returns of inx-linkeovernment bon. Exhibit 1 presents three potentiasset allocation choicesfor the funExhibit 1 PotentiAsset Allocations Choicesfor ACorp’s Pension Funetermine whichasset allocation in Exhibit 1 woulmost appropriate for Johanssongiven her recommention. Justify your response. ■ Allocation 3 ismost appropriate.■ To fully hee the funs liabilities, 85% ($8.5 billion/$10.0 billion) ofthe funs assets woullinketo inx-linkegovernment bon.■ Resi$1.5 billion surplus woulinvesteinto a return-seeking portfolio.The pension funcurrently ha surplus of $1.5 billion ($10.0 billion – $8.5billion). To apt a heing/return-seeking portfolios approach, Johanssonwoulfirst hee the liabilities allocating amount equto the presentvalue of the funs liabilities, $8.5 billion, to a heing portfolio. Theheing portfolio must inclu assets whose returns are iven the samefactors thive the returns of the liabilities, whiin this case are theinx-linkegovernment bon.So, Johansson shoulallocate 85% ($8.5 billion/$10.0 billion) of the funsassets to inx-linkegovernment bon. Te resi$1.5 billion surplus woulhen investeinto a return-seeking portfolio. Therefore, Allocation 3 woule the most appropriate asset allocation for the funbecause it allocates 85%of the funs assets to inx-linkegovernment bon anthe remainr to areturn seeking portfolio consisting of corporate bon anequities. Allocation 3 woulthe most appropriate for Johansson. The current market value of the funs assets is $10 billion, anthe present value of the funs liabilities is $8.5 billion (85% of funs assets), anJohansson recommen the heing/return-seeking portfolios approach. Unr heing/return seeking portfolios approach, the basic methoshoulusefor overvaluestatus the fferen(in this case is 15% of funs assets) will managefor return seeking (high volatility assets). Allocation 2 h50% equity whiis higher then 15%. Although both allocation 1 anallocation 3 h15% of return seeking assets (coporate bon anequities), allocation 3 hhigher return thallocation 1. Thus, allocation 3 is the most appropriate for Johansson.

2024-05-27 20:36 1 · 回答

NO.PZ2018031301000005 问题如下 Viktoria Johanssonis newly appointemanager of ACorporation’s pension fun The currentmarket value of the funs assets is $10 billion, anthe present value of thefuns liabilities is $8.5 billion. The funhhistorically been managesing asset-only approach, but Johansson recommen to ABC’s boarofrectors ththey apt a liability-relative approach, specifically theheing/return-seeking portfolios approach. Johansson assumes ththe returnsof the funs liabilities are iven changes in the returns of inx-linkeovernment bon. Exhibit 1 presents three potentiasset allocation choicesfor the funExhibit 1 PotentiAsset Allocations Choicesfor ACorp’s Pension Funetermine whichasset allocation in Exhibit 1 woulmost appropriate for Johanssongiven her recommention. Justify your response. ■ Allocation 3 ismost appropriate.■ To fully hee the funs liabilities, 85% ($8.5 billion/$10.0 billion) ofthe funs assets woullinketo inx-linkegovernment bon.■ Resi$1.5 billion surplus woulinvesteinto a return-seeking portfolio.The pension funcurrently ha surplus of $1.5 billion ($10.0 billion – $8.5billion). To apt a heing/return-seeking portfolios approach, Johanssonwoulfirst hee the liabilities allocating amount equto the presentvalue of the funs liabilities, $8.5 billion, to a heing portfolio. Theheing portfolio must inclu assets whose returns are iven the samefactors thive the returns of the liabilities, whiin this case are theinx-linkegovernment bon.So, Johansson shoulallocate 85% ($8.5 billion/$10.0 billion) of the funsassets to inx-linkegovernment bon. Te resi$1.5 billion surplus woulhen investeinto a return-seeking portfolio. Therefore, Allocation 3 woule the most appropriate asset allocation for the funbecause it allocates 85%of the funs assets to inx-linkegovernment bon anthe remainr to areturn seeking portfolio consisting of corporate bon anequities. No.PZ2018031301000005 (问答题)

2024-04-06 20:18 1 · 回答