Eileen Gension课后题

NO.PZ201909280100001102 问题如下 Eileen Gension isa portfolio manager for Zen-Alt Investment Consultants (Zen-Alt), whiassistsinstitutioninvestors with investing in alternative investments. CharlesSmittanis analyst Zen-Alt anreports to Gension. Gension anSmittaniscuss a new client, the Benziger University Enwment Fun(the fun, aswell a prospective client, the Opeptaja Pension Pl(the plan).The funs currentportfolio is investeprimarily in public equities, with the remainr investen fixeincome. The funs investment objective is to support a 6% annualspenng rate anto preserve the purchasing power of the asset base over a10-yetime horizon. The funalso wants to invest in assets thprovi thehighest amount of versification against its minant equity risk. Gensionconsirs potentialternative investment options thwoulbest meet thefuns versification strategy.In preparation forthe first meeting between Zen-Alt anthe fun Gension anSmittanscussimplementing a short-biaseequity strategy within the fun Smittanmakes thefollowing three statements regarng short-biaseequity strategies:Statement 1 Short-biaseequity strategies generally provi alpha when useto versify public equities.Statement 2 Short-biaseequity strategies are expecteto provi a higher rection in volatility thbon over a long time horizon.Statement 3 Short-biaseequity strategies are expecteto mitigate the risk of public equities recing the overall portfolio beta of the funGension rectsSmittanto prepare asset allocation anportfolio characteristita onthree alternative portfolios. The funs risk profile is one factor thatpotentilenrs consir when assigning a risk rating to the university. Alocovenant with the university’s primary lenr states tha re-evaluationof the university’s cretworthiness is triggereif the funincurs a lossgreater th20% over any one-yeperio Smittanstates ththe recommensset allocation shoulachieve the following three goals, in orr of priorityanimportance:Minimize the probability of triggering the primary lenr’s locovenant.Minimize the probability of purchasing power impairment over a 10-yehorizon.Maximize the probability of achieving a rereturn target of 6% over a 10-yehorizon.Smittanprovista for three alternative portfolios, whiare presentein Exhibits 1 an2.Notes:One-yehorizon 99% VaR: the lowest return over any one-yeperioa 99% confinlevelOne-yehorizon 99% CVaR: the expectereturn if the return falls below the 99% Vthresholrobability of purchasing power impairment: the probability of losing 40% of the funs purchasing power over 10 years, after consiration of new gifts receivethe fun spenng from the fun antotreturnsGension next meetswith the investment committee (Iof the Opeptaja Pension Plto scuss newopportunities in alternative investments. The plis a $1 billion publicpension funthis requireto provi tailereports to the public anperates unr specific government guilines. The plan’s IC aptea formalinvestment polithspecifies investment horizon of 20 years. The planha teof in-house analysts with significant experienin alternativeinvestments.ring themeeting, the IC incates thit is interestein investing in private realestate. Gension recommen a reestate investment manageexperienceewith a proven trarecor The investment will require multiple capitalcalls over the next few years. The IC procee to commit to the new reestateinvestment anseeks aion liquity planning relateto the future capitalcalls. Whiof Smittans statements regarng short-biasequity strategies is incorrect? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. Whilebon rethe probability of achieving a target return over time, they havebeen more effective a volatility mitigator thalternatives over anextenperioof time.A is incorrebecauseStatement 1 is correct. Short-biasestrategies are expecteto provi somemeasure of alpha in aition to lowering a portfolio’s overall equity beta.C is incorrectbecause Statement 3 is correct. Short-biaseequity strategies help reanequity-minateportfolio’s overall betShort-biasestrategies are believeo liver equity-like returns with less-than-full exposure to the equitypremium but with aitionsourof return thmight come from themanager’s shorting of invistocks.B 是正确的。 Short-biasestrategies会导致更大的波动因为负的β。A 不正确，因为陈述 1 是正确的。 除了降低投资组合的整体股票贝塔系数外，Short-biasestrategies有望提供一些阿尔法指标。C 不正确，因为陈述 3 是正确的。 Short-biasestrategies有助于降低以股票为主的投资组合的整体贝塔系数。 Short-biasestrategies被认为可提供类似股票的回报，但其对股票溢价的敞口只有一部分，但额外的回报来源可能来自经理对个股的卖空。 1.本题没有找到对应的视频讲解2.Statement 1 Short-biaseequity strategies generally provi alpha when useto versify public equities.是说 Short-biaseequity strategies 用来对上市的权益做分散化，但是同时提供alpha吗？有点不理解，讲义对应的原文在哪里

NO.PZ201909280100001102问题如下 Whiof Smittans statements regarng short-biasequity strategies is incorrect? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. Whilebon rethe probability of achieving a target return over time, they havebeen more effective a volatility mitigator thalternatives over anextenperioof time.A is incorrebecauseStatement 1 is correct. Short-biasestrategies are expecteto provi somemeasure of alpha in aition to lowering a portfolio’s overall equity beta.C is incorrectbecause Statement 3 is correct. Short-biaseequity strategies help reanequity-minateportfolio’s overall betShort-biasestrategies are believeo liver equity-like returns with less-than-full exposure to the equitypremium but with aitionsourof return thmight come from themanager’s shorting of invistocks.B 是正确的。 Short-biasestrategies会导致更大的波动因为负的β。A 不正确，因为陈述 1 是正确的。 除了降低投资组合的整体股票贝塔系数外，Short-biasestrategies有望提供一些阿尔法指标。C 不正确，因为陈述 3 是正确的。 Short-biasestrategies有助于降低以股票为主的投资组合的整体贝塔系数。 Short-biasestrategies被认为可提供类似股票的回报，但其对股票溢价的敞口只有一部分，但额外的回报来源可能来自经理对个股的卖空。 如上所述，请老师解答，谢谢

NO.PZ201909280100001102 问题如下 Whiof Smittans statements regarng short-biasequity strategies is incorrect? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. Whilebon rethe probability of achieving a target return over time, they havebeen more effective a volatility mitigator thalternatives over anextenperioof time.A is incorrebecauseStatement 1 is correct. Short-biasestrategies are expecteto provi somemeasure of alpha in aition to lowering a portfolio’s overall equity beta.C is incorrectbecause Statement 3 is correct. Short-biaseequity strategies help reanequity-minateportfolio’s overall betShort-biasestrategies are believeo liver equity-like returns with less-than-full exposure to the equitypremium but with aitionsourof return thmight come from themanager’s shorting of invistocks.B 是正确的。 Short-biasestrategies会导致更大的波动因为负的β。A 不正确，因为陈述 1 是正确的。 除了降低投资组合的整体股票贝塔系数外，Short-biasestrategies有望提供一些阿尔法指标。C 不正确，因为陈述 3 是正确的。 Short-biasestrategies有助于降低以股票为主的投资组合的整体贝塔系数。 Short-biasestrategies被认为可提供类似股票的回报，但其对股票溢价的敞口只有一部分，但额外的回报来源可能来自经理对个股的卖空。 Short-biasestrategies are expecteto provi some measure of alpha in aition to lowering a portfolio’s overall equity bet这个provi some measure of alpha和降低portfolio alpha会不会矛盾？怎么理解呢

NO.PZ201909280100001102 为什么 Short-biasestrategies会导致更大的波动，它可以降低组合β，不应该降低波动吗？