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次第花开 · 2020年01月29日

问一道题:NO.PZ2019100901000003

问题如下:

In the meeting with Maglav, Azarov describes the investment approach used by Westcome in managing the pension plan. The approach is characterized by a high allocation to alternative investments, significant active management, and a reliance on outsourcing assets to other external asset managers. Azarov also explains that Maglav’s operating results have a low correlation with pension asset returns and that the investment strategy is affected by the fact that the pension fund assets are a small portion of Maglav’s market capitalization. Azarov states that the plan is subject to the Employee Retirement Income Security Act of 1974 (ERISA) and follows generally accepted accounting principles, including Accounting Standards Codification (ASC) 715, Compensation—Retirement Benefits.

Westcome’s investment approach for Maglav’s pension plan can be best characterized as the:

选项:

A.

Norway model.

B.

Canadian model.

C.

endowment model.

解释:

C is correct.

The endowment model operates in an asset-only context and is characterized by a high allocation to alternative investments, including private investments and hedge funds; significant active management; and outsourcing to external managers. These characteristics describe the investment approach used by Westcome. The skill in sourcing alternative investments is critically important given the large variation in performance among asset managers, especially for alternative investments.

老师,您好!请问题干中“Azarov also explains that Maglav’s operating results have a low correlation with pension asset returns and that the investment strategy is affected by the fact that the pension fund assets are a small portion of Maglav’s market capitalization. ”这段话的是有用信息么?具体什么含义,没大看明白,谢谢

1 个答案

发亮_品职助教 · 2020年02月03日

嗨,爱思考的PZer你好:


 ”这段话的是有用信息么?具体什么含义,没大看明白,谢谢”



这是原版书课后的一道Case题,然后这段信息是好几道小题的信息。

仅仅看这一个小问,提问里的这句话是没用的。因为这道题是让判断Investment approach,我们从这几句就已经能判断出来了:

The approach is characterized by a high allocation to alternative investments, significant active management, and a reliance on outsourcing assets to other external asset managers.

本段剩下的内容都是针对其他小问的。



Maglav’s operating results have a low correlation with pension asset returns 


这句是说:Maglav这家公司的经营(Operating results)和Pension资产之间的相关性很低。

这是好事,会增加Pension fund的风险承受能力。

假设相关性很高,那么Pension fund投资好的时候,公司运营好、利润高;但是当Pension fund投资不好的时候,公司运营也不好、利润也低,这样对于Pension fund其实风险比较大,因为Pension fund投资不好的时候,正是需要公司缴纳更多Contribution时候,但因为相关性高,公司此时的经营也不好,没能力缴纳。

所以此时在相关性高的时候,Pension fund就不敢亏,亏了公司也没办法帮忙。于是风险承受能力下降。

反而,当相关性低的时候,Pension fund的投资就可以更加激进一些,因为一旦Pension fund亏了,公司可能经营还很好,有能力补足Contribution。



the investment strategy is affected by the fact that the pension fund assets are a small portion of Maglav’s market capitalization

这个是说Pension fund的规模(Asset)只占Maglav这家公司市值的很小一部分。

这也是好事,会增强Pension fund的风险承受能力。

因为相对于公司规模,Pension fund的规模太小了,公司很容易就能给这个规模小的Pension补足Contribution。

这两点信息对这道题没用,是其他小问的信息。



关于Pension asset与公司经营的Correlation,以及Pension fund占公司规模的比重,可以参考下面讲义:


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