CFA三级原版书课后题：另类投资投资组合管理_标准版.docx

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1、一鼠ll裕lf您IIIVHO1KevinKrollisthechairoftheinvestmentcommitteeresponsibleforthegovernanceoftheShireManufacturingCorporation(SMC)definedbenefitpensionplan.Thepensionfundiscurrentlyfullyfundedandhasfollowedanassetmixof60%publicequitiesand40%bondssinceKrollhasbeenchair.KrollmeetswithMaryPark,anactuarialan

2、dpensionconsultant,todiscussissuesraisedatthelastcommitteemeeting.Krollnotesthattheinvestmentcommitteewouldliketoexplorethebenefitsofaddingalternativeinvestmentstothepensionplansstrategicassetallocation.Krollstates:Statement1Thecommitteewouldliketoknowwhichalternativeassetwouldbestmitigatetherisksto

3、theportfolioduetounexpectedinflationandalsohavearelativelylowcorrelationwithpublicequitiestoprovidediversificationbenefits.ATheSMCpensionplanhasbeenabletofundtheannualpensionpaymentswithoutanycorporatecontributionsforanumberofyears.Thecornitteeisinterestedinpotentialchangestotheassetmixthatcouldincr

4、easetheprobabilityofachievingthelong-terminvestmenttargetreturnof5.5%whilemaintainingthefundedstatusoftheplan.Parknotesthatfixed-incomeyieldsareexpectedtoremainlowfortheforeseeablefuture.Krollasks:AStatement2Ifthepublicequityallocationremainsat60%,isthereasingleassetclassthatcouldbeusedforthebalance

5、oftheportfoliotoachievethegreatestprobabilityofmaintainingthepensionfundingstatusoveralongtimehorizon?Underthishypotheticalscenario,thebalanceoftheportfoliocanbeallocatedtoeitherbonds,hedgefunds,orprivateequities.HAParkconfirmswithKrollthatthecommitteehashistoricallyusedatraditionalapproachtodefinet

6、heopportunitysetbasedondistinctmacroeconomicregimes,andsheproposesthatarisk-basedapproachmightbeabettermethod.Althoughthetraditionalapproachisrelativelypowerfulforitsabilitytohandleliquidityandmanagerselectionissuescomparedtoarisk-basedapproach,theybothacknowledgethatanumberoflimitationsareassociate

7、dwiththeexistingapproach.AParkpresentsareport(Exhibit1)thatproposesanewstrategicassetallocationforthepensionplan.Krollstatesthatoneoftheconcernsthattheinvestmentcommitteewillhaveregardingthenewallocationisthatthepensionfundneedstobeabletofundanupcomingearlyretirementincentiveprogram(ERIP)thatSMCwill

8、beofferingtoitsemployeeswithinthenexttwoyears.Employeeswhohavereachedtheageof55andwhoseageaddedtothenumberofyearsofcompanyservicesumto75ormorecanretire10yearsearlyandreceivethedefinedbenefitpensionnormallypayableatage65.1Exhibit1ProposedAssetAllocationofSMCDefinedBenefitPensionPlanPublicEquitiesBroa

9、dFixedIncomeHedgeFundsPublicRealEstateTotal45%25%10%10%100%35%-55%15%-35%0%-12%0%-12%AKrollandParkthendiscusssuitabilityconsiderationsrelatedtotheallocationinExhibitLKrollunderstandsthatoneofthedrawbacksofincludingtheproposedalternativeassetclassesisthatdailyreportingwillnolongerbeavailable.Investme

10、ntreportsforalternativeswilllikelybereceivedaftermonthlyorquarter-enddeadlinesusedfortheplanstraditionalinvestments.Parkemphasizesthatinatypicalprivateequitystructure,thepensionfundmakesacommitmentofcapitaltoablindpoolaspartoftheprivateinvestmentpartnership,cfafrmcpacmavideo,weixin:804283381AInorder

11、toexplainthenewstrategicassetallocationtotheinvestmentcommittee,KrollasksParkwhyariskfactor-basedapproachshouldbeusedratherthanamean-variance-optimizationtechnique.Parkmakesthefollowingstatements:Statement3Riskfactor-basedapproachestoassetallocationproducemorerobustassetallocationproposals.Statement

12、4Amean-varianceoptimizationtypicallyoverallocatestotheprivatealternativeassetclassesduetostalepricing.Parknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabearmarketwithinafewyears.KrollasksParktodiscussthepotentialimpactonliquidityplanningassociatedwiththeactionsofthefund,sgeneralpartnersinth

13、eforecastedenvironment.HAKrollconcludesthemeetingbyreviewingtheinformationinExhibit2pertainingtothreepotentialprivateequityfundsanalyzedbyPark.Parkdisclosesthefollowingduediligencefindingsfromarecentmanagersearch:FundAretainsadministrators,custodians,andauditorswithimpeccablereputations;FundBhasachi

14、eveditsperformanceinamannerthatappearstoconflictwithitsreportedinvestmentphilosophy;andFundChasrecentlyexperiencedthelossofthreekeypersons.Exhibit2PotentialPrivateEquityFunds,InternalRateofReturn(IRR)PrivateEquityFundFundAFundBFundC5-yearIRR12.9%13.2%13.1%4N1ABasedonStatement1,Parkshouldrecommend:A.

15、hedgefunds.B.privateequities.C.commodityfutures.1Realassets(whichincludeenergy,infrastructure,timber,commodities,andfarmland)aregenerallybelievedtomitigatetheriskstotheportfolioarisingfromunexpectedinflation.Commoditiesactasahedgeagainstacoreconstituentofinflationmeasures.Ratherthaninvestingdirectly

16、intheactualcommodities,commodityfuturesmaybeincorporatedusingamanagedfuturesstrategy.Inaddition,thecommitteeislookingforanassetclassthathasalowcorrelationwithpublicequities,whichwillprovidediversificationbenefits.Commoditiesareregardedashavingmuchlowercorrelationcoefficientswithpublicequitiesthanwit

17、hprivateequitiesandhedgefunds.Therefore,commoditieswillprovidethegreatestpotentialtofulfilltheindicatedroleandtodiversifypublicequities.HAInansweringthequestionraisedinStatement2,Parkwouldmostlikelyrecommend:A.bonds.HWhenprojectingexpectedreturns,theorderofreturnsfromhighesttolowestistypicallyregard

18、edasprivateequities,hedgefunds,bonds.Therefore,theprobabilityofachievingthehighestportfolioreturnwhilemaintainingthefundedstatusoftheplanwouldrequiretheuseofprivateequitiesinconjunctionwithpublicequities.Inaddition,privateequitieshaveahigh/strongpotentialtofulfilltheroleofcapitalgrowth.Fixed-incomei

19、nvestmentsareexpectedtohaveahigh/strongpotentialtofulfilltheroleofsafety.AAlimitationoftheexistingapproachusedbythecommitteetodefinetheopportunitysetisthatit:A.isdifficulttocommunicate.HAtraditionalapproachhasbeenusedtodefinetheopportunitysetbasedondifferentmacroeconomicconditions.Theprimarylimitati

20、onsoftraditionalapproachesarethattheyoverestimatetheportfoliodiversificationandobscuretheprimarydriversofrisk,cfafrmcpacmavideo,weixin:804283381ABasedonExhibit1andtheproposedassetallocation,thegreatestriskassociatedwiththeERIPis:1Withtheintroductionoftheearlyretirementincentiveplan(ERIP),thedefinedb

21、enefitpensionplanwilllikelybecalledupontomakepensionpaymentsearlierthanoriginallyscheduled.Asaresult,theneartermliquidityoftheplanisthegreatestriskarisingfromtheadditionofthealternativeassetclasses(e.g.,privateequities,hedgefunds,andrealestate).Investmentsinalternatives,suchasprivateequities,cantake

22、upwardsoffiveyearstoreachafullcommitmentandpotentiallyanotherdecadetounwind.ElA.governance.B.transparency.C.investmenthorizon.HThepensionplan,sinvestmentinprivateequitiesviaablindpoolpresentstheprospectthatlessthanperfecttransparencywillbeassociatedwiththeunderlyingholdingsofthealternativeassetmanag

23、er.Capitaliscommittedforaninvestmentinaportfolioofassetsthatarenotspecifiedinadvance.Inaddition,reportingforalternativefundsisoftenlesstransparentthaninvestorsareaccustomedtoseeingontheirstockandbondportfolios.1A.B.C.AWhichofParksstatementsregardingtheassetallocationapproachesiscorrect?OnlyStatement

24、3OnlyStatement4BothStatement3andStatement41Statement3iscorrectbecauseriskfactor-basedapproachestoassetallocationcanbeappliedtodevelopmorerobustassetallocations.Statement4iscorrectbecauseamean-varianceoptimizationtypicallyoverallocatestotheprivatealternativeassetclasses,partlybecauseofunderestimatedr

25、iskduetostalepricingandtheassumptionthatreturnsarenormallydistributed.HABasedontheforecastedenvironment,liquidityplanningshouldtakeintoaccountthatgeneralpartnersmay:A.callcapitalataslowerpace.*aBMMBMM4MMVMMWUMOMTVMflBMHParknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabearmarketwithinafewye

26、ars.Liquidityplanningshouldtakeintoaccountthatunderascenarioinwhichpublicequitiesandfixed-incomeinvestmentsareexpectedtoperformpoorly,generalpartnersmayexerciseanoptiontoextendthelifeofthefund,cfafrmcpacmavideo,weixin:804283381lABasedonExhibit2andPark,sduediligence,thepensioncommitteeshouldconsideri

27、nvestingin:FundAshouldbeselectedbasedonbothquantitativeandqualitativefactors.FundAhasafive-yearIRRQ2.9%)thatisslightlylowerthan,butcomparableto,bothFundB(13.2%)andFundC(13.1%).GiventhesensitivitytothetimingofcashflowsintoandoutofafundassociatedwiththeIRRcalculation,however,thefinaldecisionshouldnotb

28、ebasedmerelyonquantitativereturns.Itisalsoimportanttomonitortheinvestmentprocessandtheinvestmentmanagementfirmitself,particularlyinalternativeinvestmentstructures.ConsideringthequalitativefactorsidentifiedbyPark,FundAistheonlyfundwithastrong,positivefactor:Itbenefitsfromserviceproviders(administrators,custodians,andauditors)withimpeccablereputations.FundBseemstobeexperiencingstyledrift,whichsuggeststhatthereturnsarenotconsistentwiththemanagersadvertisedinvestmentedge(hence,anegativefactor).FundChasexperiencedthedepartureofkeypersons,whichputsfuturefundreturnsinjeopardy(hence,anegativefactor).