NO.PZ2018031301000005
问题如下：
Viktoria Johansson is newly appointed as manager of ABC Corporation’s pension fund. The current market value of the fund’s assets is $10 billion, and the present value of the fund’s liabilities is $8.5 billion. The fund has historically been managed using an asset-only approach, but Johansson recommends to ABC’s board of directors that they adopt a liability-relative approach, specifically the hedging/return-seeking portfolios approach. Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. Exhibit 1 presents three potential asset allocation choices for the fund.
Exhibit 1 Potential Asset Allocations Choices for ABC Corp’s Pension Fund
Determine which asset allocation in Exhibit 1 would be most appropriate for Johansson given her recommendation. Justify your response.
选项：
解释：
■ Allocation 3 is
most appropriate.
■ To fully hedge the fund’s liabilities, 85% ($8.5 billion/$10.0 billion) of
the fund’s assets would be linked to index-linked government bonds.
■ Residual $1.5 billion surplus would be invested into a return-seeking portfolio.
The pension fund currently has a surplus of $1.5 billion ($10.0 billion – $8.5 billion). To adopt a hedging/return-seeking portfolios approach, Johansson would first hedge the liabilities by allocating an amount equal to the present value of the fund’s liabilities, $8.5 billion, to a hedging portfolio. The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities, which in this case are the index-linked government bonds.
So, Johansson should allocate 85% ($8.5 billion/$10.0 billion) of the fund’s assets to index-linked government bonds. Te residual $1.5 billion surplus would then be invested into a return-seeking portfolio. Therefore, Allocation 3 would be the most appropriate asset allocation for the fund because it allocates 85% of the fund’s assets to index-linked government bonds and the remainder to a return seeking portfolio consisting of corporate bonds and equities.
我的回答是：
The most appropriate allocation should be Allocation 1.
The fund has liabilities of $8.5m and a surplus of $1.5m, which, when the two-portfolio approach is applied, shall be covered by a hedging portfolio and a return-seeking portfolio, respectively. That says, the ratio of the portfolio of cash and bonds to the portfolio of equities is the same of that of liabilities to the surplus, namely 17:3. And considering Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds, Allocation 1 is the most appropriate.
请问为什么不对？
