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.Ratherthaninvestingdirectlyintheactualcommodities,commodityfuturesmaybeincorporatedusingamanagedfuturesstrategy.Inaddition,thecommitteeislookingforanassetclassthathasalowcorrelationwithpublicequities,whichwillprovidediversificationbenefits.Commoditiesareregardedashavingmuchlower