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洁1017 · 2024年07月17日

为什么不是LDI？

  1. CFA III
  2. 机构IPS

* 问题详情，请 查看题干

NO.PZ202301040900001002

问题如下：

(2) Recommend a new investment approach based for the Whatsit’s pension plan that is most likely to outperform the market. Justify your response and identify one advantage and one disadvantage of this approach.

选项：

解释：

Whatsit should use the endowment model.

Justification (either two of these is acceptable):

Ÿ Long time horizon

Ÿ High risk tolerance

Ÿ Relatively small liquidity needs

Ÿ Stuart’s experience with external managers to help with investment

Advantage:

Ÿ Ability to capture alpha and outperform the market over a long-time horizon, that is, high value-added potential.

Disadvantages (either one of these is acceptable):

Ÿ The endowment model is costly because of high alternative exposure, active management and outsourcing compared to a passive approach.

Difficult to implement if fund has large asset size.

老师，可否请您看一下我答案的分析，我看了答案还是没想明白为什么是endowment，我看了题干，觉得信息都在偏向LDI呀？


The new approach advised may be the LDI model. 


Because there is 5% legal spending need for the benefit payments for the retired employees, the firm indeed needs to invest in some of fixed income securities in the reserve portfolio. Although the plan is underfunded now, the firm remains the market leader and has a strong financial situation, allowing to contribute the plan in time.


Meanwhile, the company hires many young workers in order to make the average age of the workforce remain low, leading to a less mature pension plan. So there is low liquidity needs and high risk tolerance. As the recent declining sales, the firm should consider making the growth of assets higher than growth of liabilities, so it is urgent to invest in alternatives or riskier securities in return seeking portfolio in pursuit of above-market returns.

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Lucky_品职助教 · 2024年07月18日

嗨，爱思考的PZer你好：


同学你好：


Liability-Driven investing，以负债为目标的投资策略。LDI的具体方法就是：免疫策略（Immunization策略）特别是针对养老金计划等长期负债的投资组合。虽然LDI可以帮助养老金计划降低风险，但由于其主要目标是匹配或超额满足负债，因此可能会限制投资组合的回报。


这道题的问题就是，要outperform the market，也就是要有一个高增长的潜力，所以显然不符合LDI的特征，LDI最大的作用是cover liability, 但是这道题里，pension 处于underfunded的状态下，这个时候employer有能力contribution，那么pension可以继续维持被动投资的策略，但是如果employer没有能力contribution，那pension就要投资的主动一些，已达到更高的收益率，从而弥补资产小于负债的部分。LDI并不适用。

如果pension处于overfunded的状态下，说明pension运行的很好，不需要主动投资以获取高收益，继续保持之前的被动投资就好。


排除了LDI，我们就要在 Norway 和 Endowment 、canada之间进行选择了。

Norway 和 Endowment 、canada 相比，就是Norway 几乎不投alternative，而Endowment 、canada 都会大量的投资alternative；

而Endowment 和canada 相比，Canada model是Internally managed，就是内部管理的。

Endowment和Canada model整体类似，但是Endowment model是Outsourced，也就是外包管理的。

开头的这句话：“Stuart has significant experience with pension plans and an extensive knowledge of external managers”，意思是Stuart 在养老金管理中，如何挑选合适的外部经理方面，有丰富的经验和知识。并不是说他适合自己内部管理养老金。

具体的对比，同学可以参考下面的截图。




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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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