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七七 · 2024年07月13日

为什么不选C diversifying strategy 占比最大的组合

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202212280100000502

问题如下：

Based on Exhibit 1, which portfolio best meets the Laws’ goal to fund an endowment for their alma mater?

选项：

A.

Portfolio 1

B.Portfolio 2 C.

Portfolio 3

解释：

B is correct. Portfolio 2 best meets the Laws’ goal to fund an endowment for their alma mater in 20 years. In present value terms, the gift is valued at $500,000, with the Laws desiring a high probability of achieving this goal. Although slightly more conservative than the 75/25 global equity/bond mix, Portfolio 2 has a greater growth emphasis compared with Portfolios 1 and 3. Therefore, Portfolio 2 is best for funding the endowment at their alma mater given the goal’s long-term horizon and the Laws’ desire for a high probability of achieving it.

C的diversifying strategy 占比最大，expected return应该更高，为什么不选C

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1 个答案

Lucky_品职助教 · 2024年07月14日

嗨，努力学习的PZer你好：


同学你好：


这里的hedge funds，虽然一般意义上是高收益，但是分类写的是diversifying strategies，说明它的目的更偏向于分散化风险，而并不是提供更高的收益。这几类资产中，还是Global equity的预期收益是最高的，同时风险也是最大的。

跟case中另一道小题教育费用的very strong desire相对比。通过文字描述， endowment的目标迫切程度比教育费用低，所以风险容忍度相对较高，由于他们打算是20年后才打算投资捐赠基金，投资期限足够长，所有他们是可以承担在投资期间的波动的，承受风险的能力是很强的。

所以portfolio2中，有最高比例的Global equity，这是最适合捐赠这个目标的。



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