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yxzhrh · 2020年02月07日

问一道题：NO.PZ2018031301000005

  1. CFA III
  2. Asset Allocation

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A不好？1.5m要找return高的，equity多一些应该return可能会高一些

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2 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年02月13日

index-linked government 通常是与CPI指数挂钩的，也就是说可以抗通胀，cash虽然很稳健但是抗不了通胀。另外，既然是债券，定期是可以拿到coupon的，投资cash没有coupon，所以不能跟fund liability的现金流相匹配。这里的匹配是现金流完全对应上的才是匹配。

Shimin_CPA税法主讲、CFA教研 · 2020年02月07日

嗨，从没放弃的小努力你好：


hedging/return-seeking 首先要考虑的是hedging portfolio，只有liabilities全部覆盖了，多出来的部分才能进行return-seeking。

现在fund liabilities占 85% ，并且文中说 Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. 也就是说能够很好地匹配fund liabilities的是 index-linked government， 而Allocation 3 的 index-linked government占比正好是85%，所以最合适。

Allocation 1的 index-linked government的占比是70%，少于85%，虽然 equity 投的更多，但是不能很好的hedging liabilities。


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yxzhrh · 2020年02月13日

70%+15%cash也足够hedge 8.5billions了啊

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