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lwtwinter · 2024年07月09日

pe&real estate 都是illiquid assets

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000024

问题如下：

The SH University Endowment is a very large tax-exempt fund financed from students’ tuition fee, with the current strategic asset allocations presented below.

The manager of Endowment forecast the expected excess return of each asset class. In order to capture the short-term return opportunities, the Endowment can:

选项：

A.

increase the allocation of private equity to 15% and decrease the allocation of real estate to 5%.

B.

increase the allocation of small-cap equities to 32% and decrease the allocation of large-cap equities to 38%

C.

decrease the allocation of large-cap equities to 40% and increase the allocation of short-term bonds to 12%.

解释：

A is correct.

考点：tactical asset allocation

解析：应当增加excess return高的资产比重，降低excess return低的资产比重。但是权重变化不能超过target weight的上下限。

这是一家非常大的endowment 暗示资产规模可能很大，投资也很大， 现在他们要做TAA， TAA是short term deviation from SAA, 而A选项虽然买到了上下限，但是PE and real estate都是不容易在短期变现的资产，很可能想做TAA却因为illiquid 问题根本无法实现。


应该选C， 虽然没有买到上下限， 但是都是流动性较高的资产， 容易以更低的成本实现TAA目标。

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1 个答案

Lucky_品职助教 · 2024年07月09日

嗨，努力学习的PZer你好：


同学你好：


这道题在判断的时候，还有一个条件需要我们考虑到，那就是expected excess return。


C选项中的调整：

Large-cap equities excess return=-2%, weight change=-2%

short-term bonds excess return=1%， weight change=2%

而A选中的调整：

real estate excess return=-5%，weight change=-3%

private equity excess return=6%，weight change=3%


经过上面的对比，能够很明显的看出，选项A带来的收益，要远高于选项C。所以不是C是错误的，而是C调整的结果没有A好，A中PE和房地产excess return的绝对值最大，而且权重调整的时候也调到顶了。如果C的decrease the allocation of large-cap equities to 35% ，increase the allocation of short-term bonds to 20%，那么C就更合适了。


投资 Private equity 、 real estate 确实需要承担流动性风险，所以投资者会要求额外的return作为补偿，因此excess return这一栏已经考虑了流动性因素，不需要单独分析资产本身是否方便退出。并且投资者除了直接投资，还可以选择间接投资，比如投资房地产，可以投资一些REITS这样的证券化的产品。


再进一步讲，这里的短期并不是指一两个月。对于大学捐赠基金，目标是无限期的存活下去，所以长期是几十年以后，而短期是近几年。按年来算，投资私募股权虽然流动性差，但也可以获得比较高的收益，那就投资投资私募股权。


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