NO.PZ202206210100000104
问题如下：
Olivinia Heritage Case Scenario
Olivinia is an oil-rich state in the country of Puerto Rinaldo, which uses the US dollar as its official currency of exchange. In 1981, the state’s legislature created the Olivinia Heritage Fund (OHF) to collect a portion of the state’s non-renewable resource revenue and invest it on behalf of future generations. James Lafferty, the managing director of the fund, is one of the keynote speakers at the Global Wealth Creation Conference. He begins his presentation with a brief overview of OHF’s history (Exhibit 1).
Exhibit 1
-
Phase 1 (1981–1991)
The fund was given an initial allocation of $1 billion by the state. The fund was to receive 10% of all state revenues arising from taxes on oil and gas production and extraction. The fund was given a 20-year accumulation period over which no distributions were allowed and the fund was forecasted to grow to $10 billion. Income earned following the accumulation period was to be used to provide for public works and other public infrastructure within the state. Investments were restricted to cash and investment-grade bonds.
-
Phase 2 (1991–2001)
By 1991, after being in existence for 10 years, the fund value had grown to $2.2 billion. At this time, transfers of state revenues from taxes on oil-related resources was halted and the government began to use income generated by the fund for direct economic development and social investment purposes. In addition to cash and investment-grade bonds, the investment mandate for the fund was expanded to include investments in private and public companies, real estate, and infrastructure investments. Management of cash and bond investments was performed in-house. For the higher-risk component of the portfolio, the fund hired external managers in an effort to increase return and correspondingly lower the incidence of negative performance. These managers were hired or retained if they had outperformed other active managers in their sectors in at least the prior two years. The fund value at the end of this period was $6 billion.
-
Phase 3 (2001–2014)
Strong reform legislation related to the original intent of the fund was introduced in 2001. It reinstated transfers of oil-related taxes to the fund, increasing them to 35% of oil- and gas-related state revenues. In addition, the fund was mandated to have 50% in public equities through passive index funds and 10% in cash and investment-grade bonds. The remainder was to be divided equally between high-yield bonds, real estate, private equity, and hedge funds and would continue to be managed externally. All investments were to be made outside the country to avoid overheating the national economy. Investments managed by individual external managers was limited to approximately $75 million. A two-thirds majority in both the upper and lower legislative bodies was required to change any future legislation related to the fund. By the end of this phase, the fund was worth $28 billion.
-
Phase 4 (2014–Present)
The fund’s management felt that the significant decline in oil prices since mid-2014 and lowered production levels were likely to persist through several business cycles, requiring a change in strategy to maintain the long-term objectives of the funds. They sought government approval for lower withdrawals from the fund, higher equity exposure, and the flexibility to vary asset class policy weights by as much ±5% for each asset class from the static weights that had previously existed. The government reaffirmed its commitment to the fund given in Phase 3, and legislative approval was received for these changes, including the ability to increase public equity exposure to 65% and reduce investment-grade bond exposure to as little as 7.5%. Of the remaining authorized assets, no one asset class could have a weight in excess of 10%.
Lafferty states that ever since the fund was given the authority to vary asset class policy weights from their strategic levels, it has actively engaged in tactical asset allocation (TAA) using a variety of proprietary short-term forecasting tools that have been developed in-house. He provides the data in Exhibits 2 and 3 to illustrate the results of one such shift in the fund’s asset allocation following a signal from its TAA model.
Exhibit 2
Example of a Short-Term Shift in Asset Allocation
* Current weight refers to the weighting in effect just prior to when the TAA signal occurred.
Lafferty concludes the morning portion of his presentation at the conference by comparing the relative performance of the three portfolios (from Exhibit 2) utilizing a graph (Exhibit 3) of the efficient frontier derived from the asset classes used by the fund.
Exhibit 3
Efficient Frontier from Assets Utilized by OHF
The changes that were allowed in OHF’s strategic asset allocation in Phase 4 are best classified as relating to changes in:
选项：
A.constraints. B.beliefs. C.goals.解释：
SolutionB is correct. In Phase 4, lower oil prices and reduced production would have resulted in substantial declines in cash inflows that management perceived to be long term in nature. To compensate for these changes, management sought both lower withdrawals and increased equity exposure to bolster its declining cash inflows.
A is incorrect. A change in constraints would arise from a change in time horizon, liquidity needs, asset size, or regulatory constraints, none of which are indicated in Phase 4.
C is incorrect. Although business conditions have changed because of lower oil prices and reduced production, there is no indication that the main goal of the fund has changed; indeed, the government reaffirmed its commitment to the fund given in the latter part of Phase 2.
resulted in substantial declines in cash inflows 这句话可以判断出是有CF的未预期进出的呀，所以这个是属于Constraints的其中之一呀
