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yan · 2024年10月22日

B和C答案对应的题干内容在哪里

  1. CFA III
  2. 机构IPS

* 问题详情，请 查看题干

NO.PZ202206210200000105

问题如下：

Which of the following would Browne least likely consider a source of risk for the Tucker pension plan?

选项：

A.Workforce characteristics

B.The sponsor’s financial health

C.Common risk exposures between the sponsor and the fund

解释：

Solution

B is correct. The plan sponsor holds an investment-grade credit rating, and there are no indications of declining financial health.

A is incorrect. There are a substantial number of retirees, and the active employees are older, with long service records, suggesting many are nearing retirement. The current asset allocation is both illiquid in nature (newly launched private equity funds and directly owned undeveloped real estate) and volatile in value (small-cap equities). Given the workforce characteristics, the fund should likely be moving to a more current income-producing allocation and one that would reduce surplus volatility.

C is incorrect because 18­%–19% of the fund’s assets are invested in the sponsor’s common stock. If the sponsor’s financial health declines, the value of fund assets will decline at precisely the same time the sponsor is required to make additional contributions. Because it is less likely to be able to do so when it is in poor financial health, this situation creates a greater risk of insolvency than if that allocation were in different assets.

B和C答案对应的题干内容在哪里

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1 个答案

Lucky_品职助教 · 2024年10月23日

嗨，从没放弃的小努力你好：


同学你好：


关于B选项，定位在下面这两段文字：


Browne asks Miller for some advice on developing a proposal for a potential client, the defined benefit pension plan for Tucker Manufacturing. Tucker is a publicly traded firm whose stock is a part of the Russell 2000 Index. The firm has been in business for 82 years and has a Fitch credit rating of BBB+.

说的是，T是上市公司，股票属于Russell 2000指数，BBB+的 credit rating。


The asset allocation of the portfolio is 37% publicly traded equity, mostly small-cap growth equities, about half of which is in Tucker common stock, which is considered a growth stock and pays no dividends; 29% private equity, invested in two recently launched funds; and 34% directly owned real estate, consisting of vacant land that is expected to be developed in 15–20 years.

说的是当前DB plan的投资是： 37%在上市股票上，主要是小市值、增长型股票；同时，一半的股票都投资在本公司的股票上，他们公司的股票是增长型，没有分红。从这句话可以判断，这个Asset投资了本公司股票，投资与公司的Correlation过高，导致了DB Plan的风险承受能力下降。


综合来看可以判断Sponsor hold investment-grade credit rating，选B。


关于C选项，common risk exposures between the sponsor and the fund，这点的确构成一个风险，因此这道题不选 C。

因为 DB fund 投资的股票里面，有一半都投资在自己的股票上，于是增加的 DB Fund 与公司之间的 Correlation，这会降低 DB Fund 的风险承受能力，加大了 DB Fund的风险，是一个 Source of risk。

当公司收益差时，公司可能无法缴纳足够的 Contribution，此时 DB Fund 就需要更加依赖 Asset产生足够多的收益来补充，但因为公司的表现差，那么公司的股票表现就会差，且由于 DB Fund 投资了很多在本公司股票上，所以 DB Asset 的收益也差。

因此，当 DB Fund 投资的资产与公司经营之间的相关性过高时，会构成一项风险，会使得 DB Fund 的风险承受能力降低。





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