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多乐登 · 2025年06月27日

为什么不用LDI模型?

* 问题详情,请 查看题干

NO.PZ202301040900001002

问题如下:

(2) Recommend a new investment approach based for the Whatsit’s pension plan that is most likely to outperform the market. Justify your response and identify one advantage and one disadvantage of this approach.

解释:

Whatsit should use the endowment model.

Justification (either two of these is acceptable):

Ÿ Long time horizon

Ÿ High risk tolerance

Ÿ Relatively small liquidity needs

Ÿ Stuart’s experience with external managers to help with investment

Advantage:

Ÿ Ability to capture alpha and outperform the market over a long-time horizon, that is, high value-added potential.

Disadvantages (either one of these is acceptable):

Ÿ The endowment model is costly because of high alternative exposure, active management and outsourcing compared to a passive approach.

Difficult to implement if fund has large asset size.

养老金用LDI模型不是更合适?

1 个答案

Lucky_品职助教 · 2025年06月27日

嗨,爱思考的PZer你好:


LDI 模型侧重负债匹配与风险对冲,而 Whatsit 养老金计划需提升收益以避免资金不足。其劳动力平均年龄低、退休员工仅占 5%,具备长期投资期限与低流动性需求,且公司低负债比支持高风险容忍度,加上 Stuart 的外部管理经验,更适合通过捐赠基金模型配置另类资产获取阿尔法,而非 LDI 的稳健导向。

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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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