Several years later, Channel’s pension plan has grown to over EUR 5 billion in assets. During that time period, the fund’s allocation to illiquid assets (which includes direct real estate, private equity and infrastructure) increased to 30%.
Channel maintains its leading position in the insurance industry and its balance sheet remains healthy. However, given heightened competition and increasingly soft pricing conditions, Channel staff members are researching possible cost saving strategies for management consideration. While viewed as an unlikely choice by Mukasa, reducing Channel’s cash contributions to its pension plan is among them. The plan is currently 90% funded.
Pai reviews key benefits and constraints of large institutional investors in asset allocation that may be relevant to Channel’s pension plan. He makes the following statements.
Statement 1: A substantial allocation to illiquid assets may be inappropriate for Channel’s pension plan if there is a significant probability of Channel lowering its contributions to the plan.
Statement 2: Large institutional investors, such as Channel’s pension plan, will likely benefit from deploying active equity strategies, due to manager access, liquidity and trading cost advantages.
Statement 3: Channel’s pension fund may rebalance portfolio weights from the strategic allocation in order to exploit perceived opportunities based on its latest five-year capital market expectations.
Which of Pai’s statements is most appropriate for the pension plan, given Channel’s current market circumstances?
您的回答B, 正确答案是: A
A
Statement 1.
B
不正确Statement 2.
C
Statement 3.
The change to the expected cash contributions to the pension fund, if adopted, would materially affect the fund’s asset allocation strategy. The odds of that happening, however, appear low at present according to Mukasa. At this point, this indicates a need for the pension plan to increase sensitivity to liquidity concerns, but is not necessarily cause for immediate revisions to the current allocation.
这道题我相结合我另一个问题https://class.pzacademy.com/qa/187705一起看一下
但是当DB处于underfunded状态时，只要是处于资不抵债的状态，DB的风险承受能力就必然会下降，它承受不起再多的亏损了。但是至于接下来投资是激进还是保守，还要看雇主是否有能力继续contribution，如果有contribution，那DB还是会继续保守的投资，因为虽然我现在亏了，但是还是会有现金流入，来满足未来的支付，所以就不需要冒险。但是如果underfunded，并且还没有contribution了，DB可不像我们个人投资，亏了，没能力补仓，就及时止损平仓了，DB是不能不玩的，它必须要继续，因为未来还有那么多的法律支付义务等着它履行，所以在这种情况，它就必须要投资的激进一些，来尽快恢复到overfunded状态。
对应这道题的statement 1:“ A substantial allocation to illiquid assets may be inappropriate for Channel’s pension plan if there is a significant probability of Channel lowering its contributions to the plan.” 符合上面红字的contribution减少，所以要投资的激进一点这一条。
但是题目选择A，认为inappropriate的定性是没错的理由是“我们要保障必要的支出，就不能投流动性差的资产。相比于收益，流动性更为重要。”
我怎么结合一起记忆呢？是underfunded时候，如果降低或者没有contribution，是可以激进投资，但是不应该投资大比重到illiquid assets上去（因为要考虑到流动性风险），激进一点投资股票这种是可以接受的？
