CFA三级原版书课后题：另类投资投资组合管理_标准版.docx

一鼠ll裕lf您IIIVHO1KevinKrollisthechairoftheinvestmentcommitteeresponsibleforthegovernanceoftheShireManufacturingCorporation(SMC)definedbenefitpensionplan.Thepensionfundiscurrentlyfullyfundedandhasfollowedanassetmixof60%publicequitiesand40%bondssinceKrollhasbeenchair.KrollmeetswithMaryPark,anactuarialandpensionconsultant,todiscussissuesraisedatthelastcommitteemeeting.Krollnotesthattheinvestmentcommitteewouldliketoexplorethebenefitsofaddingalternativeinvestmentstothepensionplan'sstrategicassetallocation.Krollstates:>Statement1Thecommitteewouldliketoknowwhichalternativeassetwouldbestmitigatetheriskstotheportfolioduetounexpectedinflationandalsohavearelativelylowcorrelationwithpublicequitiestoprovidediversificationbenefits.ATheSMCpensionplanhasbeenabletofundtheannualpensionpaymentswithoutanycorporatecontributionsforanumberofyears.Thecornitteeisinterestedinpotentialchangestotheassetmixthatcouldincreasetheprobabilityofachievingthelong-terminvestmenttargetreturnof5.5%whilemaintainingthefundedstatusoftheplan.Parknotesthatfixed-incomeyieldsareexpectedtoremainlowfortheforeseeablefuture.Krollasks:AStatement2Ifthepublicequityallocationremainsat60%,isthereasingleassetclassthatcouldbeusedforthebalanceoftheportfoliotoachievethegreatestprobabilityofmaintainingthepensionfundingstatusoveralongtimehorizon?Underthishypotheticalscenario,thebalanceoftheportfoliocanbeallocatedtoeitherbonds,hedgefunds,orprivateequities.HAParkconfirmswithKrollthatthecommitteehashistoricallyusedatraditionalapproachtodefinetheopportunitysetbasedondistinctmacroeconomicregimes,andsheproposesthatarisk-basedapproachmightbeabettermethod.Althoughthetraditionalapproachisrelativelypowerfulforitsabilitytohandleliquidityandmanagerselectionissuescomparedtoarisk-basedapproach,theybothacknowledgethatanumberoflimitationsareassociatedwiththeexistingapproach.AParkpresentsareport(Exhibit1)thatproposesanewstrategicassetallocationforthepensionplan.Krollstatesthatoneoftheconcernsthattheinvestmentcommitteewillhaveregardingthenewallocationisthatthepensionfundneedstobeabletofundanupcomingearlyretirementincentiveprogram(ERIP)thatSMCwillbeofferingtoitsemployeeswithinthenexttwoyears.Employeeswhohavereachedtheageof55andwhoseageaddedtothenumberofyearsofcompanyservicesumto75ormorecanretire10yearsearlyandreceivethedefinedbenefitpensionnormallypayableatage65.1Exhibit1ProposedAssetAllocationofSMCDefinedBenefitPensionPlanPublicEquitiesBroadFixedIncomeHedgeFundsPublicRealEstateTotal45%25%10%10%100%35%-55%15%-35%0%-12%0%-12%AKrollandParkthendiscusssuitabilityconsiderationsrelatedtotheallocationinExhibitLKrollunderstandsthatoneofthedrawbacksofincludingtheproposedalternativeassetclassesisthatdailyreportingwillnolongerbeavailable.Investmentreportsforalternativeswilllikelybereceivedaftermonthlyorquarter-enddeadlinesusedfortheplan'straditionalinvestments.Parkemphasizesthatinatypicalprivateequitystructure,thepensionfundmakesacommitmentofcapitaltoablindpoolaspartoftheprivateinvestmentpartnership,cfafrmcpacmavideo,weixin:804283381AInordertoexplainthenewstrategicassetallocationtotheinvestmentcommittee,KrollasksParkwhyariskfactor-basedapproachshouldbeusedratherthanamean-variance-optimizationtechnique.Parkmakesthefollowingstatements:Statement3Riskfactor-basedapproachestoassetallocationproducemorerobustassetallocationproposals.Statement4Amean-varianceoptimizationtypicallyoverallocatestotheprivatealternativeassetclassesduetostalepricing.Parknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabearmarketwithinafewyears.KrollasksParktodiscussthepotentialimpactonliquidityplanningassociatedwiththeactionsofthefund,sgeneralpartnersintheforecastedenvironment.HAKrollconcludesthemeetingbyreviewingtheinformationinExhibit2pertainingtothreepotentialprivateequityfundsanalyzedbyPark.Parkdisclosesthefollowingduediligencefindingsfromarecentmanagersearch:FundAretainsadministrators,custodians,andauditorswithimpeccablereputations;FundBhasachieveditsperformanceinamannerthatappearstoconflictwithitsreportedinvestmentphilosophy;andFundChasrecentlyexperiencedthelossofthreekeypersons.Exhibit2PotentialPrivateEquityFunds,InternalRateofReturn(IRR)PrivateEquityFundFundAFundBFundC5-yearIRR12.9%13.2%13.1%4N1ABasedonStatement1,Parkshouldrecommend:A.hedgefunds.B.privateequities.C.commodityfutures.1Realassets(whichincludeenergy,infrastructure,timber,commodities,andfarmland)aregenerallybelievedtomitigatetheriskstotheportfolioarisingfromunexpectedinflation.Commoditiesactasahedgeagainstacoreconstituentofinflationmeasures.Ratherthaninvestingdirectlyintheactualcommodities,commodityfuturesmaybeincorporatedusingamanagedfuturesstrategy.Inaddition,thecommitteeislookingforanassetclassthathasalowcorrelationwithpublicequities,whichwillprovidediversificationbenefits.Commoditiesareregardedashavingmuchlowercorrelationcoefficientswithpublicequitiesthanwithprivateequitiesandhedgefunds.Therefore,commoditieswillprovidethegreatestpotentialtofulfilltheindicatedroleandtodiversifypublicequities.HAInansweringthequestionraisedinStatement2,Parkwouldmostlikelyrecommend:A.bonds.HWhenprojectingexpectedreturns,theorderofreturnsfromhighesttolowestistypicallyregardedasprivateequities,hedgefunds,bonds.Therefore,theprobabilityofachievingthehighestportfolioreturnwhilemaintainingthefundedstatusoftheplanwouldrequiretheuseofprivateequitiesinconjunctionwithpublicequities.Inaddition,privateequitieshaveahigh/strongpotentialtofulfilltheroleofcapitalgrowth.Fixed-incomeinvestmentsareexpectedtohaveahigh/strongpotentialtofulfilltheroleofsafety.AAlimitationoftheexistingapproachusedbythecommitteetodefinetheopportunitysetisthatit:A.isdifficulttocommunicate.HAtraditionalapproachhasbeenusedtodefinetheopportunitysetbasedondifferentmacroeconomicconditions.Theprimarylimitationsoftraditionalapproachesarethattheyoverestimatetheportfoliodiversificationandobscuretheprimarydriversofrisk,cfafrmcpacmavideo,weixin:804283381ABasedonExhibit1andtheproposedassetallocation,thegreatestriskassociatedwiththeERIPis:1Withtheintroductionoftheearlyretirementincentiveplan(ERIP),thedefinedbenefitpensionplanwilllikelybecalledupontomakepensionpaymentsearlierthanoriginallyscheduled.Asaresult,theneartermliquidityoftheplanisthegreatestriskarisingfromtheadditionofthealternativeassetclasses(e.g.,privateequities,hedgefunds,andrealestate).Investmentsinalternatives,suchasprivateequities,cantakeupwardsoffiveyearstoreachafullcommitmentandpotentiallyanotherdecadetounwind.ElA.governance.B.transparency.C.investmenthorizon.HThepensionplan,sinvestmentinprivateequitiesviaablindpoolpresentstheprospectthatlessthanperfecttransparencywillbeassociatedwiththeunderlyingholdingsofthealternativeassetmanager.Capitaliscommittedforaninvestmentinaportfolioofassetsthatarenotspecifiedinadvance.Inaddition,reportingforalternativefundsisoftenlesstransparentthaninvestorsareaccustomedtoseeingontheirstockandbondportfolios.1A.B.C.AWhichofPark'sstatementsregardingtheassetallocationapproachesiscorrect?OnlyStatement3OnlyStatement4BothStatement3andStatement41Statement3iscorrectbecauseriskfactor-basedapproachestoassetallocationcanbeappliedtodevelopmorerobustassetallocations.Statement4iscorrectbecauseamean-varianceoptimizationtypicallyoverallocatestotheprivatealternativeassetclasses,partlybecauseofunderestimatedriskduetostalepricingandtheassumptionthatreturnsarenormallydistributed.HABasedontheforecastedenvironment,liquidityplanningshouldtakeintoaccountthatgeneralpartnersmay:A.callcapitalataslowerpace.*aBMMBMM4MMVMM>>WUMOMTVMflBMHParknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabearmarketwithinafewyears.Liquidityplanningshouldtakeintoaccountthatunderascenarioinwhichpublicequitiesandfixed-incomeinvestmentsareexpectedtoperformpoorly,generalpartnersmayexerciseanoptiontoextendthelifeofthefund,cfafrmcpacmavideo,weixin:804283381lABasedonExhibit2andPark,sduediligence,thepensioncommitteeshouldconsiderinvestingin:FundAshouldbeselectedbasedonbothquantitativeandqualitativefactors.FundAhasafive-yearIRRQ2.9%)thatisslightlylowerthan,butcomparableto,bothFundB(13.2%)andFundC(13.1%).GiventhesensitivitytothetimingofcashflowsintoandoutofafundassociatedwiththeIRRcalculation,however,thefinaldecisionshouldnotbebasedmerelyonquantitativereturns.Itisalsoimportanttomonitortheinvestmentprocessandtheinvestmentmanagementfirmitself,particularlyinalternativeinvestmentstructures.ConsideringthequalitativefactorsidentifiedbyPark,FundAistheonlyfundwithastrong,positivefactor:Itbenefitsfromserviceproviders(administrators,custodians,andauditors)withimpeccablereputations.FundBseemstobeexperiencingstyledrift,whichsuggeststhatthereturnsarenotconsistentwiththemanager'sadvertisedinvestmentedge(hence,anegativefactor).FundChasexperiencedthedepartureofkeypersons,whichputsfuturefundreturnsinjeopardy(hence,anegativefactor).