NO.PZ2019122802000002
问题如下：
An pension fund is currently fully funded and has followed an asset mix of 60% public equities and 40% bonds. The pension plan has been able to fund the annual pension payments without any corporate contributions for a number of years. The investment committee
is interested in potential changes to the asset mix that could increase
the probability of achieving the long-term investment target return of
5.5% while maintaining the funded status of the plan. Currently the fixed-income yields are expected to remain low for the foreseeable future. The investment committee asks a analyst that
"If the public equity allocation remains at 60%, is there a single asset
class that could be used for the balance of the portfolio to achieve
the greatest probability of maintaining the pension funding status over a
long time horizon? Under this hypothetical scenario, the balance of the
portfolio can be allocated to either bonds, hedge funds, or private
equities." Which of the following investment should be recommended?
选项：
A.bonds.
B.hedge funds.
C.private equities.
解释：
C is correct.
When projecting expected returns, the order of returns from highest to lowest is typically regarded as private equities, hedge funds, bonds. Therefore, the probability of achieving the highest portfolio return while maintaining the funded status of the plan would require the use of private equities in conjunction with public equities. In addition, private equities have a high/strong potential to fulfill the role of capital growth. Fixed-income investments are expected to have a high/strong potential to fulfill the role of safety.
这个题的这句话“The investment committee is interested in potential changes to the asset mix that could increase the probability of achieving the long-term investment target return of 5.5% while maintaining the funded status of the plan.”首先提到了是长期投资，其二不仅仅是要保持5.5%的收益，还有就是保持funded status of the plan，那这个funded status of the plan是The pension plan has been able to fund the annual pension payments without any corporate contributions for a number of years. 也就是能cover退休人的退休金。所以也是要尽可能提高收益才能cover退休人的退休金。而且由于是长期投资，那么时间会抹平短期因为各种原因导致的暂时偏离资产的实际价值的下跌，所以应该选尽可能提高收益的——private equities。
老师，请教下，这个题的目标是提高收益和控制风险，HF有risk reducer 和 return enhancer的作用，而PE只有return enhancer的作用，为什么不选HF？5.5%的目标收益也不高呀，HF难道不能满足收益吗？
