NO.PZ2019122802000002
问题如下：
An pension fund is currently fully funded and has followed an asset mix of 60% public equities and 40% bonds. The pension plan has been able to fund the annual pension payments without any corporate contributions for a number of years. The investment committee
is interested in potential changes to the asset mix that could increase
the probability of achieving the long-term investment target return of
5.5% while maintaining the funded status of the plan. Currently the fixed-income yields are expected to remain low for the foreseeable future. The investment committee asks a analyst that
"If the public equity allocation remains at 60%, is there a single asset
class that could be used for the balance of the portfolio to achieve
the greatest probability of maintaining the pension funding status over a
long time horizon? Under this hypothetical scenario, the balance of the
portfolio can be allocated to either bonds, hedge funds, or private
equities." Which of the following investment should be recommended?
选项：
A.bonds.
B.hedge funds.
C.private equities.
解释：
C is correct.
When projecting expected returns, the order of returns from highest to lowest is typically regarded as private equities, hedge funds, bonds. Therefore, the probability of achieving the highest portfolio return while maintaining the funded status of the plan would require the use of private equities in conjunction with public equities. In addition, private equities have a high/strong potential to fulfill the role of capital growth. Fixed-income investments are expected to have a high/strong potential to fulfill the role of safety.
这道题是不是考察的是the role of alternatives呢？
hedge fund的作用是risk reduce and return enhancement,
private equity的作用是return enhancement,
本题题干中，未提及portfolio的情况，所以应该选择一个return最大的品种，即PE。这么理解吗？
