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yj2640 · 2024年06月28日

return seeking portfolio

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000043

问题如下：

George was recently hired as the investment advisor for the SSR Corporation pension fund. The current market value of the pension fund’s assets is USD 10 billion, and the present value of the fund’s liabilities is USD 8 billion. George recommends that the risk-averse SSR board of directors consider adopting a liability-relative method, specifically the hedging/return-seeking portfolio approach. He is considering about allocating Inflation-Index bond to the return-seeking portfolio due to the circumstance:

选项：

A.

economic growth increase

B.volatility of inflation increase C.neither of above

解释：

Market inflation expectations incorporate both changing investor expectations about inflation and changing investor perceptions about the uncertainty of the future inflation environment. the difference between the 10-year UK inflation-linked government bond rate and the 10-year nominal bond rate reflects both investor expectations about the level of future inflation as well as a premium for the uncertainty of future inflation.

老师，请问通常来说hedging/return-seeking方法是投资一个portfolio还是两个呢？如果是投资两个为什么要把TIPS投资在return-seeking而不是hedging portfolio？

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Lucky_品职助教 · 2024年06月28日

嗨，从没放弃的小努力你好：


同学你好：


hedging/return-seeking方法是投资两个portfolio，其中一个是单纯的ALM，来hedge 现有的liabilities, 另一个则会用surplus optimization，来return seeking。


这道题问的是，在什么情况下，会在return-seeking portfolio中，增加Inflation-Index bond，也就是TIPS。

首先我们要理解，在hedge liabilities 的 portfolio 中，SSR Corporation pension fund作为养老金，它的负债支出，一定是nominal的，也就是一定会受到通胀影响，所以在hedge liabilities的时候，我们选用的asset，就不需要去考虑通胀对其收益的影响，也就是不需要能够低于通胀风险的TIPS。


但是对于return-seeking portfolio中，我们的目的是要追求实际收益率最大化，这时候就必须要考虑通胀的影响，如果是在经济增长的环境下，一般来说是伴随温和的通胀的，这时候通胀的影响是positive的，所以不需要TIPS。而在通胀波动性增加时，也就是恶性通胀的时候，就需要inflation-Index bond与通胀挂钩的债券，来抵抗预期到和未预期到的通胀风险。



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yj2640 · 2024年06月28日

谢谢老师，请问有一些题目为什么hedging/return-seeking是一个portfolio？比如funded status是0.8，liability适合Index gov bond，所以适合two portfolio策略的就要选择一个差不多投80%index gov bond的portfolio？这种情况为什么不是投资两个portfolio呢？

Lucky_品职助教 · 2024年06月28日

嗨，爱思考的PZer你好：


同学你好：


Hedge/return seeking的方法，一定是两个portfolio的，它就像是将一块蛋糕切成两块，变成hedging portfolio（A=L）和return-seeking portfolio（A>L），hedging部分用于cover liability，return-seeking部分追求收益。overfunded是hedge/return seeking的必要条件，同时也是这个方法的缺点。

所以你说的funded status是0.8，它应该不是Hedge/return seeking的条件，而是Surplus optimization的条件。

这里我们可以将hedge/return seeking和Surplus optimization做一个区分，总的来说Surplus optimization中是将A-L得到的surplus看做一个整体，本质上是对组合的surplus进行最优化求解，求的是surplus的效用最大化。如果underfunded，surplus为负，这个方法的目的就是缩小负值。


所以总结一下，Hedge/return seeking一定是有两个portfolio，并且前提条件是overfunded。而Surplus optimization是可以underfunded，也就是surplus为负，这个更符合你说的funded status是0.8。

 


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