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Aolen过过过 · 2024年11月03日

第二条原因应该归类在哪一类consideration里？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000402

问题如下：

The Fordhart portfolio has a market value of $2 billion. After his annual meeting

with its investment committee, DuBord notes the following points:

■ Fordhart must spend 3% of its beginning-of-the-year asset value annually to meet legal obligations.

■ The investment committee seeks exposure to private equity investments and requests that DuBord review the CFQ Private Equity Fund as a potential new investment.

■ Enrollment is strong and growing, leading to increased operating revenues from tuition.

■ A recent legal settlement eliminated an annual obligation of $50 million from the portfolio to support a biodigester used in the university’s Center for Renewable Energy. \

DuBord instructs his second junior analyst to formulate new allocations for

Fordhart. This analyst proposes the allocation presented in Exhibit 2.

Discuss two reasons why the proposed asset allocation is inappropriate for Fordhart.

选项：

解释：

The proposed asset allocation for Fordhart is inappropriate because:

1 Given the increasing enrollment trends and recent favorable legal settlement, Fordhart will likely require lower liquidity in the future. The proposed allocation shifts Fordhart’s portfolio away from risky assets (decreases the relative equity holdings and increases the relative bond holdings).

2 The proposed 10% allocation to private equity creates an overly concentrated position in the underlying investment. A 10% allocation to the CFQ Private Equity Fund is $200 million (10% of Fordhart’s $2 billion). The CFQ Private Equity Fund has assets under management (AUM) of $500 million. Hence, Fordhart would own 40% of the entire CFQ Private Equity Fund. This position exposes both Fordhart and the CFQ fund to an undesirable level of operational risk.

The proposed 10% allocation to private equity creates an overly concentrated position in the underlying investment. A 10% allocation to the CFQ Private Equity Fund is $200 million (10% of Fordhart’s $2 billion). The CFQ Private Equity Fund has assets under management (AUM) of $500 million. Hence, Fordhart would own 40% of the entire CFQ Private Equity Fund. This position exposes both Fordhart and the CFQ fund to an undesirable level of operational risk.


是算在Regulatory and other external considerations这里么

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1 个答案

Lucky_品职助教 · 2024年11月04日

嗨，从没放弃的小努力你好：


同学你好：


其实第二个原因，更适合归类 asset size 这个 constraints.


对asset size 正常的理解角度，大多是投资者的规模太小了，而一般的PE最低的投资额都很高，一旦小型投资者直接去购买PE的份额，可能会面临不够多元化的风险。这也可以是流动性风险。


而这道题的答案，是从投资者规模很大的角度。PE资产中的40%都是由Fordhart投资了，从而产生操作风险，比如说，Fordhart的业绩不好，或是突然需要流动性了，那就会需要减少PE的position，但是由于Fordhart占的比例太多了，PE不会让他轻易撤出的，因为Fordhart一走，整个PE的策略和投资项目就会全部中断，这样对双方都有风险。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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