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Tong · 2025年05月25日

为什么fully hedge the fund’s liabilities对应的资产是linked to index-linke

  1. CFA III
  2. Asset Allocation

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.

为什么fully hedge the fund’s liabilities对应的资产是linked to index-linked government bonds？这个是固定的吗，corporate bond 不符合吗

另外Residual $1.5 billion surplus would be invested into a return-seeking portfolio，这个return-seeking portfolio 有固定范围吗还是除了index bond都可以？

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1 个答案

Lucky_品职助教 · 2025年05月26日

嗨，爱思考的PZer你好：


因为题干中明确，假设基金负债的回报由index-linked government bonds的回报变化驱动，所以完全对冲负债需选择与负债驱动因素一致的资产，即index-linked government bonds，这样其价值变动才能有效抵消负债波动。而corporate bond存在信用风险，回报驱动因素与负债不同，无法实现有效对冲，故不符合。

对于剩余 15 亿美元投入的回报寻求组合，其范围并非固定，核心是在承担一定风险前提下追求超额收益，可配置股票、公司债券等非对冲类资产，只要符合风险收益目标即可，本题中配置公司债券和股票是因它们能提供更高预期回报，符合回报寻求定位。

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