NO.PZ2023010409000016
问题如下：
Susan Liew, CFA, is the CIO of
the Lorenza State Pension Plan (LSPP), a public DB plan. The plan maintains an
asset allocation of 30% US equities, 30% international equities, 30% US fixed
income, and 10% international fixed income. Given the poor prospects for fixed
income and the mediocre expectations for equities, Liew is exploring making
allocations to various alternatives and has asked LSPP’s asset consultant to
provide comments on considerations for each alternative asset class, as shown
here:
Liew recommends to
LSPP’s Board of Trustees the following change in asset allocation:
How would the recommended change in asset allocation be expected to affect LSPP’s funded status?
解释：
The recommended changes in asset allocation would likely affect LSPP’s funded status as follows:
The changes would increase expected returns, implying higher expected asset values for LSPP over time.
Given that both alternative debt and hedge funds have higher projected long-term returns than traditional debt and equities, respectively, the discount rate applied to LSPP’s liabilities can be increased, thereby reducing their present value.
On balance, LSPP’s funded status would be expected to improve because of the recommended changes in asset allocation. In addition to generating higher asset values and lower present value of liabilities, the volatility of assets (and therefore the risk to funded status) should be reduced because of the lower correlation among asset returns.
Note that although these alternative investments entail reduced liquidity, the funded status improves because of the factors mentioned previously. However, the reduced liquidity must be considered to ensure sufficient coverage of prospective liabilities.
Alternative investments entail greater manager selection risk and larger dispersion of returns around the policy benchmark relative to a passive allocation to public markets. Careful manager selection would likely require resources that would increase internal costs, and also require paying higher fees to access skilled alternative asset managers.
这句描述是不是有问题？为什么会让整体volatility 下降？
Alternative investment 风险大，即使看起来correlation 低，但是引入的alternative investment 的portfolio应该会让整体风险上升。
我们还经常提到alternative investment 由于smoothing 所以低估了volatility ，实际的风险大。
