NO.PZ2019100901000004
问题如下：
William Azarov is a portfolio manager for Westcome Investments, an asset management firm. Azarov is preparing for meetings with two of Westcome’s clients and obtains the help of Jason Boulder, a junior analyst. The first meeting is with Maglav Inc., a rapidly growing US-based technology firm with a young workforce and high employee turnover. Azarov directs Boulder to review the details of Maglav’s defined benefit (DB) pension plan. The plan is overfunded and has assets under management of $25 million. Boulder makes the following two observations:
Observation 1 Maglav’s shareholders benefit from the plan’s overfunded status.
Observation 2 The funded ratio of Maglav’s plan will decrease if employee turnover decreases.
Maglav outsources the management of the pension plan entirely to Westcome Investments. The fee structure requires Maglav to compensate Westcome with a high base fee regardless of performance. Boulder tells Azarov that outsourcing offers small institutional investors, such as Maglav’s pension plan, the following three benefits:
Benefit 1: Regulatory requirements are reduced.
Benefit 2: Conflicts of interest are eliminated from principal–agent issues.
Benefit 3: Investors have access to a wider range of investment strategies through scale benefits.
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.
The risk tolerance of Maglav’s pension plan can be best characterized as being:
选项：
A.below average.
B.average.
C.above average.
解释：
C is correct.
The risk tolerance for Maglav’s defined benefit plan is high and thus above average. Several factors influence the plan sponsor’s ability to assume risk. For Maglav, the overfunded status of the pension fund allows the plan to withstand more volatility, and its small size relative to the company size implies greater risk tolerance. The low correlation of Maglav’s operating results with pension asset returns also results in greater risk tolerance. Finally, the workforce characteristics imply greater risk tolerance. The younger workforce increases the duration of the plan liabilities and enables the sponsor to take on more liquidity risk. The high turnover of the workforce means fewer employees may be vested, reducing the number of employees entitled to receive defined benefit payments. All these factors contribute to an above average risk tolerance for Maglav’s defined benefit plan.
老师当时讲课说如果是overfunded的话，投资反而是保守的，那么愿意承受的risk是小的，题目中的risk tolerance是不是指的是capacity啊？如果真题出现了我们都直接像基础讲义里讲的全部当做risk capacity来处理吧？
