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Carolyne · 2025年06月27日

phase 3的风险偏好没有上升吗

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000103

问题如下：

In Phase 3, the most likely change in the constraints facing OHF’s ability to undertake asset allocation arose from an increased need for:

选项：

A.governance resources. B.liquidity. C.risk reduction.

解释：

Solution

A is correct. In Phase 3, 40% of assets were to be invested in high-yield bonds, real estate, private equity, and hedge funds, which were to be managed externally. Each external manager was limited to approximately $75 million of the fund’s assets. As indicated in the table below, the number of external managers required grew from about 30 to almost 150 by the end of the period. This would have placed substantial demands on the governance resources of the fund to allow for identification of suitable managers and to monitor their performance.


B is incorrect. The liquidity requirements of the fund had not changed; tax revenues were again flowing into the fund, and the fund held substantial (10%) bond and cash investments.

C is incorrect. Phase 3 indicates no change in risk from Phase 2. In Phase 2, the fund was allowed to increase its risk exposure; it could invest in public equites, high-yield bonds, private equity, hedge funds, and real estate. In Phase 1, investments were very low risk—cash and high-grade bonds.

解析说phase 3的风险偏好没有变，这个对吗？3阶段，一半儿投资在股票上，而之前都是主要投债券。应该是风险偏好上升了把？

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1 个答案

Lucky_品职助教 · 2025年06月27日

嗨，爱思考的PZer你好：


在 Phase 3 中，风险偏好并未发生实质性变化，这一结论需结合其与Phase 2的对比来理解。

Phase 2 期间，基金已被允许投资公共及私人公司股票、房地产、基础设施等高风险资产，且通过外部管理人管理这些高风险部分以提升收益，此时风险暴露已显著高于 Phase 1 的纯现金和投资级债券配置。

而 Phase 3 的政策调整更多是对资产比例的规范化。虽然将公共股票配置固定为 50%，但这一资产类别在 Phase 2 已被纳入投资范围，且新增的高收益债券、私募股权等类别在 Phase 2 也已允许投资。

此外，Phase 3 对外部管理资产设置单一经理 7500 万美元的规模限制，并要求 40% 的风险资产在高收益债券、房地产、私募股权和对冲基金间平均分配，本质上是通过分散化和制度约束控制风险，而非主动提升风险偏好。

因此，Phase 3 的风险偏好与 Phase 2 相比并未显著改变，只是在资产配置结构上更趋标准化和制度化，并非风险偏好的上升。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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