机构IPS - 主观题

问题如下：

The investment committee also asks Bookman to investigate whether the en dowment should increase its allocation to illiquid investments to take advantage of higher potential returns. The endowment’s liquidity profile policy stipulates that at least 30% of investments must be classified as liquid to support operating expenses; no more than 40% should be classified as illiquid. Bookman decides to perform a bottom-up liquidity analysis to respond to the committee.

Discuss the elements of Bookman’s analysis and the conclusions he will draw from it.

选项：

解释：

To operationalize the concepts represented in the liquidity budget, it is appropri ate to analyze the underlying liquidity characteristics of the portfolio investments and monitor these characteristics over time. The analysis should look beyond the broad definition of asset classes to the underlying investments used for exposure because different investments within the same asset class could have very differ ent liquidity profiles.

In performing a bottom-up liquidity analysis on the State Tech endowment, Bookman multiplies each asset class allocation by its matching liquidity classifi cation and then aggregates across asset classes. Based on this analysis, 44.5% of investments are currently classified as liquid, and 28.5% are classified as illiquid, calculated as follows:

Investments classified as liquid = (Cash allocation × %Liquid) + (Fixed-income allocation × %Liquid) + (Public equity allocation × %Liquid)

Investments classified as liquid = (1% × 100%) + (24% × 100%) + (39% × 50%) = 44.5%.

Investments classified as illiquid = (Private equity allocation × %Illiquid) + (Real asset allocation × %Illiquid)

Investments classified as illiquid = (21% × 100%) + (15% × 50%) = 28.5%.

The liquid investment allocation of 44.5% is well above the 30% liquid require ment, and the 28.5% illiquid investment allocation is well below the 40% illiquid limit. As a result, there is enough capacity to reallocate more funds from liquid investments into illiquid investments to take advantage of the higher potential returns. Thus, Bookman can recommend that shift.