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向雨潇 · 2022年04月14日

为什么要看F组合占CFQ PE整体规模的比例

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000402

问题如下：

The Fordhart portfolio has a market value of $2 billion. After his annual meeting

with its investment committee, DuBord notes the following points:

■ Fordhart must spend 3% of its beginning-of-the-year asset value annually to meet legal obligations.

■ The investment committee seeks exposure to private equity investments and requests that DuBord review the CFQ Private Equity Fund as a potential new investment.

■ Enrollment is strong and growing, leading to increased operating revenues from tuition.

■ A recent legal settlement eliminated an annual obligation of $50 million from the portfolio to support a biodigester used in the university’s Center for Renewable Energy. \

DuBord instructs his second junior analyst to formulate new allocations for

Fordhart. This analyst proposes the allocation presented in Exhibit 2.

Discuss two reasons why the proposed asset allocation is inappropriate for Fordhart.

选项：

解释：

The proposed asset allocation for Fordhart is inappropriate because:

1 Given the increasing enrollment trends and recent favorable legal settlement, Fordhart will likely require lower liquidity in the future. The proposed allocation shifts Fordhart’s portfolio away from risky assets (decreases the relative equity holdings and increases the relative bond holdings).

2 The proposed 10% allocation to private equity creates an overly concentrated position in the underlying investment. A 10% allocation to the CFQ Private Equity Fund is $200 million (10% of Fordhart’s $2 billion). The CFQ Private Equity Fund has assets under management (AUM) of $500 million. Hence, Fordhart would own 40% of the entire CFQ Private Equity Fund. This position exposes both Fordhart and the CFQ fund to an undesirable level of operational risk.

我不太懂为什么要看这个40%的比例呀，难道不应该看PE fund 占The Fordhart portfolio的比例么。就比如说，现在还是配置0.2billion到CFQ PE，还是F组合占CFQ PE整体规模的40%。但如果F组合的整体规模就只有0.2billion，100%投资了PE，那一旦PE有较大损失，F组合损失惨重。若F组合的整体规模有200billion，那F组合中只是其中一小部份，CFQ PE 有多大损失都不怎么影响F组合。所以都是占40%，有可能对F组合影响大，也可能影响不大。那这个40%的比例算出来有什么意义呢。

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郭静_品职助教 · 2022年04月14日

嗨，从没放弃的小努力你好：


你分析的非常有道理，我第一次看到这个题目时心里同样的疑问。但是这题答案这么写，其实取决于它问问题的方式，可能与具体的知识内容都没有太大关系，更多是一种答题技巧，不需要太纠结具体的知识点。

这题问的是为什么不选CFQ，所以答题的角度是因为占了40%的比重，占比过高了。如果问为什么可以选CFQ，则可以按你后面的思路答即使占CFQ40%，但对于F本身，仍属于小投资，盈利和亏损影响不大，所以可以选CFQ。

说的简单一点，投和不投的理由可能是同一个。



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