Lucky_品职助教 · 2024年07月15日
嗨，从没放弃的小努力你好：
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。
根据你的评论，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。
----------------------------------------------努力的时光都是限量版，加油！
NO.PZ2018110601000024 问题如下 The SH University Enwment is a very large tax-exempt funfinancefrom stunts’ tuition fee, with the current strategic asset allocations presentebelow. The manager of Enwment forecast the expecteexcess return of eaasset class. In orr to capture the short-term return opportunities, the Enwment can: increase the allocation of private equity to 15% ancrease the allocation of reestate to 5%. increase the allocation of small-cequities to 32% ancrease the allocation of large-cequities to 38% crease the allocation of large-cequities to 40% anincrease the allocation of short-term bon to 12%. 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enwment 暗示资产规模可能很大，投资也很大， 现在他们要做TATAA是short term viation from SA 而A虽然买到了上下限，但是PE anreestate都是不容易在短期变现的资产，很可能想做TAA却因为illiqui问题根本无法实现。 应该选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。
NO.PZ2018110601000024 问题如下 The SH University Enwment is a very large tax-exempt funfinancefrom stunts’ tuition fee, with the current strategic asset allocations presentebelow. The manager of Enwment forecast the expecteexcess return of eaasset class. In orr to capture the short-term return opportunities, the Enwment can: increase the allocation of private equity to 15% ancrease the allocation of reestate to 5%. increase the allocation of small-cequities to 32% ancrease the allocation of large-cequities to 38% crease the allocation of large-cequities to 40% anincrease the allocation of short-term bon to 12%. 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。 老师好，麻烦请教一下，这道题，C为什么不对呢？
NO.PZ2018110601000024问题如下 The SH University Enwment is a very large tax-exempt funfinancefrom stunts’ tuition fee, with the current strategic asset allocations presentebelow. The manager of Enwment forecast the expecteexcess return of eaasset class. In orr to capture the short-term return opportunities, the Enwment can: increase the allocation of private equity to 15% ancrease the allocation of reestate to 5%. increase the allocation of small-cequities to 32% ancrease the allocation of large-cequities to 38% crease the allocation of large-cequities to 40% anincrease the allocation of short-term bon to 12%. 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。 组合中增加PE的配比可以增厚收益，但PE流动性差投资期限长，是否和TAA的抓短期机会相矛盾？
NO.PZ2018110601000024 问题如下 The SH University Enwment is a very large tax-exempt funfinancefrom stunts’ tuition fee, with the current strategic asset allocations presentebelow. The manager of Enwment forecast the expecteexcess return of eaasset class. In orr to capture the short-term return opportunities, the Enwment can: increase the allocation of private equity to 15% ancrease the allocation of reestate to 5%. increase the allocation of small-cequities to 32% ancrease the allocation of large-cequities to 38% crease the allocation of large-cequities to 40% anincrease the allocation of short-term bon to 12%. 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。 C crease the allocation of large-cequities to 40% anincrease the allocation of short-term bon to 12%.这个也在TAA范围内，是因为return不高吗？
