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.
这道题从题干分析，单纯就是让选expected return最高的，根据“PE比hedge fund的return高”这个结论就能解题。这道题没让考虑diversification的问题，题目要求“achieve the greatest probability of maintaining the pension funding status over a long time horizon”，目前funded status是能够不依靠contribution，支付“a number of years”的pension payments，投资目标是希望可以维持这种状态“over a long time horizon”，因为不依靠contribution，那么就只能依靠投资收益，题干又要求“greatest probability”，PE的expected return是最高的，所以选C。
to achieve the greatest probability of maintaining the pension funding status over a long time horizon
这句话能体现要尽可能获得最高的人return吗？
它的target不是5.5%吗？
