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多乐登 · 2025年06月28日

这样回答可以吗?

NO.PZ2023010409000016

问题如下:

Susan Liew, CFA, is the CIO of the Lorenza State Pension Plan (LSPP), a public DB plan. The plan maintains an asset allocation of 30% US equities, 30% international equities, 30% US fixed income, and 10% international fixed income. Given the poor prospects for fixed income and the mediocre expectations for equities, Liew is exploring making allocations to various alternatives and has asked LSPP’s asset consultant to provide comments on considerations for each alternative asset class, as shown here:

Liew recommends to LSPP’s Board of Trustees the following change in asset allocation:


How would the recommended change in asset allocation be expected to affect LSPP’s funded status?

解释:

The recommended changes in asset allocation would likely affect LSPP’s funded status as follows:

Ÿ The changes would increase expected returns, implying higher expected asset values for LSPP over time.

Ÿ Given that both alternative debt and hedge funds have higher projected long-term returns than traditional debt and equities, respectively, the discount rate applied to LSPP’s liabilities can be increased, thereby reducing their present value.

Ÿ On balance, LSPP’s funded status would be expected to improve because of the recommended changes in asset allocation. In addition to generating higher asset values and lower present value of liabilities, the volatility of assets (and therefore the risk to funded status) should be reduced because of the lower correlation among asset returns.

Note that although these alternative investments entail reduced liquidity, the funded status improves because of the factors mentioned previously. However, the reduced liquidity must be considered to ensure sufficient coverage of prospective liabilities.

Alternative investments entail greater manager selection risk and larger dispersion of returns around the policy benchmark relative to a passive allocation to public markets. Careful manager selection would likely require resources that would increase internal costs, and also require paying higher fees to access skilled alternative asset managers.

the recommended asset allocation changes would improve LSPP’s funded status:


1. **Higher Expected Returns** 

  - Increased allocation to alternative debt/hedge funds (vs. traditional assets) boosts projected asset growth. 


2. **Lower Liability Present Value** 

  - Higher discount rate (due to elevated return assumptions) reduces the calculated present value of liabilities. 


3. **Reduced Volatility Risk** 

  - Diversification benefits (lower correlation among alternatives) stabilize asset values, mitigating funded status swings. 


4. **Trade-offs** 

  - **Liquidity**: Reduced liquidity requires careful cash flow management. 

  - **Costs**: Higher fees and manager selection risk may offset some gains. 

1 个答案

Lucky_品职助教 · 2025年06月30日

嗨,爱思考的PZer你好:


你的回答没有问题。

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