NO.PZ2023010407000021
问题如下：
Kloss Investments is an investment adviser whose clients are small
institutional investors. Muskogh Charitable Foundation (the “Foundation”) is a
client with $70 million of assets under management. The Foundation has a
traditional asset allocation of 65% stocks/35% bonds. Risk and return
characteristics for the Foundation’s current portfolio are presented in Panel A
of Exhibit 1. Kloss’ CIO, Christine Singh, recommends to Muskogh’s
investment committee that it should add a 10% allocation to hedge funds. The
investment committee indicates to Singh that Muskogh’s primary considerations
for the Foundation’s portfolio are that any hedge fund strategy allocation
should: a) limit volatility, b) maximize risk-adjusted returns, and c) limit
downside risk. Singh’s associate prepares expected risk and return
characteristics for three portfolios that have allocations of 60% stocks, 30% bonds,
and 10% hedge funds, where the 10% hedge fund allocation follows either an
equity market-neutral, global macro, or convertible arbitrage strategy. The
risk and return characteristics of the three portfolios are presented in Panel
B of Exhibit 1.
Discuss which hedge fund strategy
Singh should view as most suitable for meeting the considerations expressed by
Muskogh’s investment committee.
选项：
解释：
Based on the
investment committee’s considerations, Singh should view a 10% allocation to
the global macro hedge fund strategy as most suitable for the Foundation. Such
an allocation would result in a decrease in standard deviation (volatility) and
significant increases in the combined portfolio’s Sharpe and Sortino ratios
(these are the highest such ratios among the strategies presented). In
addition, the lower maximum drawdown (15.0%) indicates less downside risk in
the combined portfolio than with any of the other strategy choices.
Global macro should view as most suitable for meeting the considerations expressed by Muskogh’s investment committee.
Muskogh’s primary considerations for the Foundation’s portfolio are that any hedge fund strategy allocation should: a) limit volatility, b) maximize risk-adjusted returns, and c) limit downside risk.
The Global macro hedge fund has the lowest standard deviation, indicating lower volatility; The Global macro hedge fund has the highest Sharpe ratio, indicating maximize risk-adjusted returns; The Global macro hedge fund has the highest Sortino ratio and the lowest maximum drawdown, indicating the lower downside risk.
