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.Commoditiesareregardedashavingmuchlower