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葡萄藤木 · 2020年02月22日

问一道题：NO.PZ201805280100000101

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

问题如下：

1.The change in the annual spending rate, in conjunction with the board’s expectations regarding future enrollment and the need for endowment support, could justify that KUE’s target weight for:

选项：

A.

infrastructure be increased.

B.

investment- grade bonds be increased.

C.

private real estate equity be decreased.

解释：

A is correct.

A lower annual spending rate, in addition to the board’s expectations of rising enrollment and minimal need for endowment support over the next five years, indicates a decreased need for liquidity. Therefore, KUE could justify an increase in the strategic allocation to less liquid asset classes (such as private real estate equity and infrastructure) and a decrease in the strategic allocation to liquid assets (such as investment- grade bonds).

如果这道题说的是增加private real estate equity的投资权重，是不是也不能选，因为上限就是15%

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2 个答案

pzqa015 · 2021年09月06日

嗨，努力学习的PZer你好：


同学你好

these expectations led the investment committee to approve a decrease in the endowment's annual spending rate starting in the next fiscal year。

这句话的意思说，学校因为生源好，所以就对endowment的依赖下降（decrease in the endowment's annual spending rate），那么endowment的流动性需求下降，风险承受能力提高，投资期可以拉长，可以投一些高风险的资产来提高收益。所以，是需要提高return而不是你说的不需要那么高的return了。

所以就不能降低对private equity的投资比例（因为收益高），排除C。

也不能增加对IG的投资比例（因为收益低），排除B。

只能增加A的投资比例，因为它的收益高，而且现在的配置比例还低于SAA的上限。

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加油吧，让我们一起遇见更好的自己！

Shimin_CPA税法主讲、CFA教研 · 2020年02月22日

嗨，从没放弃的小努力你好：


是的。投资权重不能超过lower & upper policy limit。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


mario · 2021年09月06日

为啥不能选c啊 ， 到了上限为啥不能降低呀？ 这里需要结合return看吗？B的话没到上限但是return低，相比A就是return低。 C的return最高 到了上限，现在不需要那么高的return了，为啥不能降一些

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