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yj2640 · 2024年06月25日

知识点

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000008

问题如下：

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

• AFMR’s overall investment objective is to maintain its portfolio’s real purchasing power after distributions.

• The risk-free rate is 4.0%.

• An expected inflation rate is 3.5%.

• The portfolio’s standard deviation is 15.0%.

• The cost of earnings investment returns is 50 bp.

• AFMR targets a 5.5% annual distribution of assets.

AFMR’s return objective 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.

老师，还是想请问一下这个题考的是哪一个知识点，感觉从来都没有见过

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已采纳答案

lynn_品职助教 · 2024年06月26日

嗨，从没放弃的小努力你好：


是考计算


往年的机构IPS、AA里面，计算return objective会多一点，几乎年年考。

公式也很简单就是乘法

但是，今年的机构IPS，对计算return objective的要求比旧考纲降低了。

可能现在的考查方式，不太容易考计算return objective，因为原版书正文里面，也基本没有计算的内容。

但是注意，三级机构IPS，他会问我们这个基金他的投资目标（Return objective）是什么，这个是现在考纲的重点，需要能默写出来。

他这个Return objective写作的套路很固定，只需记住模板，然后套用考试题干信息即可。

比如，Endowment的目标是：

Their main objective is to maintain long-term purchasing power to support the university’s operating budget.

有2个目标，maintain long-term purchasing power；第二个目标是：Support university operating budget。

考试的时候，如果有相关信息，写出具体支持的项目即可。

或者DB Fund的目标是（需至少会答Primary objective）：

The primary objective: achieve a long-term target return (usually in nominal) over a specified investment horizon with an appropriate level of risk that allows the plan to meet its contractual liabilities.

考试的时候，需要套用题干条件给出来的投资期，投资风险，投资目标收益。

Secondary objective: minimize the PV of expected cash contributions

除此之外，还有Foundation、Sovereign wealth fund，DC Plan他们的投资目标。具体可以参考强化班讲义。



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