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yan · 2024年11月01日

能否解释一下答案,以及答案与提问的关系,没看懂

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NO.PZ202410250100000602

问题如下:

Discuss the actions that Grides should take to alleviate Brodka’s concerns.

选项:

解释:

As a result of the allocation changes, there will be a reduction in the liquid and semi-liquid categories and an increase in the illiquid category under both normal and stress conditions. The proposed allocation shifting 5% of the endowment’s in vestments from liquid to illiquid assets would result in an increase in the overall illiquidity profile.

Regarding Brodka’s concern about the liquidity profile, Grides needs to ensure that even under stress conditions, the proposed allocation continues to comply with the liquidity budgeting framework in place. From an ongoing management perspective—and particularly at times when the liquidity profile of the proposed allocation is closer to the minimum thresholds set through the liquidity budget— Grides should plan to closely monitor the portfolio’s liquidity profile and stress test it periodically to make sure portfolio liquidity remains adequate.

Regarding Brodka’s concern of risk profile “drift,” illiquid assets carry extremely high rebalancing costs. Because asset liquidity tends to decrease in periods of market stress, having sufficient liquid assets and rebalancing mechanisms in place is important to ensure the portfolio’s risk profile remains within acceptable risk targets and does not “drift” as the relative valuations of different asset classes f luctuate during stress periods. Because liquid assets will decrease as a result of the proposed allocation, Grides must ensure that an effective rebalancing mech anism is adopted prior to the investment and is consistently followed thereafter. T hat mechanism can be either through a systematic discipline, such as calendar rebalancing or percent-range rebalancing that set pre-specified tolerance bands for asset weights, or through an automatic rebalancing method, such as using adjustments to a public market allocation that is correlated to a private market allocation (likely a more illiquid exposure) to rebalance private market risk.

Contrary to its desired intent, and providing grounds for Brodka’s concerns, this design would exacerbate the endowment’s liquidity needs in severe market down turns. Given the possibility of such adverse events within Kemney’s long-term planning horizon, the policy is very relevant as potentially introducing undesired risks.

能否解释一下答案,以及答案与提问的关系,没看



1 个答案

Lucky_品职助教 · 2024年11月03日

嗨,努力学习的PZer你好:


同学你好:


关于这道题的题干背景,我在上一个问题中有和同学进行分析过,所以这里我就不多复述了,咱们直接看这个问题。


问题是,要求讨论Grides为Brodka的担忧应该采取的行动。这表明需要基于Brodka对资产配置变化(将更多资金分配到非流动性投资)的担忧,来提出Grides可以实施的具体措施,重点在于 “行动” 和 “减轻担忧” 这两个要点。


后面的答案与问题是紧密相关的。它以资产配置变化可能带来的问题为出发点,针对Brodka的每一个担忧(流动性状况、风险状况 “漂移” 和总体风险状况),详细地分析了问题产生的原因和可能造成的影响,然后逐一提出Grides为减轻这些担忧应该采取的具体行动。


首先说明了资产配置变化的结果:无论是在正常还是压力环境下,流动性和半流动性资产类别都会减少,非流动性资产类别会增加。例如,将捐赠基金 5% 的投资从流动性资产转向非流动性资产的提议配置,会使整体的非流动性状况上升。这部分内容是在为后续针对Brodka的担忧提出应对措施做背景铺垫,让读者清楚了解当前的资产配置变化情况及其可能带来的直接后果。


对于Brodka关于流动性状况的担忧,答案指出Grides需要确保在压力条件下,提议的资产配置仍要符合现有的流动性预算框架。并且从持续管理的角度,特别是当提议配置的流动性接近流动性预算设定的最小阈值时,Grides应该密切监控投资组合的流动性状况,还要定期进行压力测试,以此保证投资组合有足够的流动性。这部分内容直接回应了如何减轻Brodka对流动性状况的担忧,提出了具体的管理和监控行动。


在回应Brodka对风险状况 “漂移” 的担忧时,答案提到非流动性资产有很高的再平衡成本。由于市场压力时期资产流动性会下降,所以要有足够的流动性资产和再平衡机制,才能确保投资组合的风险状况在可接受范围内,避免在压力时期因资产类别相对估值波动而出现风险 “漂移”。鉴于提议的配置会使流动性资产减少,Grides必须在投资前确保采用有效的再平衡机制,并一直遵循该机制。这个机制可以是系统性的方法,像日历再平衡或者设定资产权重百分比范围再平衡(设定预先指定的资产权重容忍区间),也可以是自动再平衡方法,例如利用与私募市场(可能更具非流动性)相关的公开市场配置调整来重新平衡私募市场风险。这部分详细阐述了针对风险 “漂移” 问题的具体解决方式,从原因分析到措施建议,都紧密围绕减轻Brodka的担忧展开。


最后提到目前的配置设计在严重市场低迷时会加剧捐赠基金的流动性需求,这与预期意图相反,也正是Brodka担忧的原因。鉴于肯尼大学长期规划中可能出现这种不利情况,这个政策可能会引入不期望的风险。这部分虽然没有明确的 “Grides应采取的行动” 表述,但实际上暗示了Grides需要考虑这种总体风险状况,比如重新审视投资政策和资产配置在长期规划中的合理性,以避免出现这种加剧流动性需求和引入额外风险的情况,从而减轻Brodka对总体风险状况的担忧。







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