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良爱洳 · 2020年10月05日

问一道题：NO.PZ2018110601000024 [ CFA III ]

  1. CFA III
  2. Asset Allocation

问题如下：

The SH University Endowment is a very large tax-exempt fund financed from students’ tuition fee, with the current strategic asset allocations presented below.

The manager of Endowment forecast the expected excess return of each asset class. In order to capture the short-term return opportunities, the Endowment can:

选项：

A.

increase the allocation of private equity to 15% and decrease the allocation of real estate to 5%.

B.

increase the allocation of small-cap equities to 32% and decrease the allocation of large-cap equities to 38%

C.

decrease the allocation of large-cap equities to 40% and increase the allocation of short-term bonds to 12%.

解释：

A is correct.

考点：tactical asset allocation

解析：应当增加excess return高的资产比重，降低excess return低的资产比重。但是权重变化不能超过target weight的上下限。

请问为什么不能选C呢

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2 个答案

郭静_品职助教 · 2021年05月01日

嗨，从没放弃的小努力你好：


这里的短期不是指一两个月。对于大学捐赠基金，目标是无限期的存活下去，所以长期是几十年以后，而短期是近几年。按年来算，投资私募股权虽然流动性差，但也可以获得比较高的收益，那就投资投资私募股权。

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努力的时光都是限量版，加油！

Shimin_CPA税法主讲、CFA教研 · 2020年10月07日

嗨，从没放弃的小努力你好：


C调整的结果没有A好，A中PE和房地产excess return的绝对值最大，而且权重调整的时候也调到顶了。


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加油吧，让我们一起遇见更好的自己！


popozzz · 2021年05月01日

In order to capture the short-term return opportunities，A选项调的都是real estate和private equity等长期自产，怎么在短期capture机会呢？C选项调的都是流动性好的自产，才比较合适吧？

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