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思思 · 2022年11月29日

hedge fund 也能满足题目要求,选private equity的原因仅仅是因为PE return> HF return?

NO.PZ2019122802000002

问题如下:

An pension fund is currently fully funded and has followed an asset mix of 60% public equities and 40% bonds. The pension plan has been able to fund the annual pension payments without any corporate contributions for a number of years. The investment committee is interested in potential changes to the asset mix that could increase the probability of achieving the long-term investment target return of 5.5% while maintaining the funded status of the plan. Currently the fixed-income yields are expected to remain low for the foreseeable future. The investment committee asks a analyst that "If the public equity allocation remains at 60%, is there a single asset class that could be used for the balance of the portfolio to achieve the greatest probability of maintaining the pension funding status over a long time horizon? Under this hypothetical scenario, the balance of the portfolio can be allocated to either bonds, hedge funds, or private equities." Which of the following investment should be recommended?

选项:

A.

bonds.

B.

hedge funds.

C.

private equities.

解释:

C is correct.

When projecting expected returns, the order of returns from highest to lowest is typically regarded as private equities, hedge funds, bonds. Therefore, the probability of achieving the highest portfolio return while maintaining the funded status of the plan would require the use of private equities in conjunction with public equities. In addition, private equities have a high/strong potential to fulfill the role of capital growth. Fixed-income investments are expected to have a high/strong potential to fulfill the role of safety.

这个题的这句话“The investment committee is interested in potential changes to the asset mix that could increase the probability of achieving the long-term investment target return of 5.5% while maintaining the funded status of the plan.”首先提到了是长期投资,其二不仅仅是要保持5.5%的收益,还有就是保持funded status of the plan,那这个funded status of the planThe pension plan has been able to fund the annual pension payments without any corporate contributions for a number of years. 也就是能cover退休人的退休金。所以也是要尽可能提高收益才能cover退休人的退休金。而且由于是长期投资,那么时间会抹平短期因为各种原因导致的暂时偏离资产的实际价值的下跌,所以应该选尽可能提高收益的——private equities

hedge fund 也能满足题目要求,选private equity的原因仅仅是因为PE return> HF return?

1 个答案

伯恩_品职助教 · 2022年11月30日

嗨,从没放弃的小努力你好:


同学,记得这种题,长期的就是PE,短期的债。长期波动不重要,重要的收益,收益最高的是PE(收益上PE>HF,这个题如你所说,重点就是因为收益),短期波动特别重要的话,选波动最小的债。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2019122802000002 问题如下 pension funis currently fully funanhfolloweasset mix of 60% public equities an40% bon. The pension plhbeen able to funthe annupension payments without any corporate contributions for a number of years. The investment committee is interestein potentichanges to the asset mix thcoulincrease the probability of achieving the long-term investment target return of 5.5% while maintaining the funstatus of the plan. Currently the fixeincome yiel are expecteto remain low for the foreseeable future. The investment committee asks a analyst th \"If the public equity allocation remains 60%, is there a single asset class thcoulusefor the balanof the portfolio to achieve the greatest probability of maintaining the pension funng status over a long time horizon? Unr this hypotheticscenario, the balanof the portfolio callocateto either bon, hee fun, or private equities.\" Whiof the following investment shoulrecommen A.bon. B.hee fun. C.private equities. C is correct.When projecting expectereturns, the orr of returns from highest to lowest is typically regarprivate equities, hee fun, bon. Therefore, the probability of achieving the highest portfolio return while maintaining the funstatus of the plwoulrequire the use of private equities in conjunction with public equities. In aition, private equities have a high/strong potentito fulfill the role of capitgrowth. Fixeincome investments are expecteto have a high/strong potentito fulfill the role of safety.这个题的这句话“Theinvestment committee is interestein potentichanges to the asset mix thatcoulincrease the probability of achieving thelong-term investment target return of 5.5% while maintaining the funtatus of the plan.”首先提到了是长期投资,其二不仅仅是要保持5.5%的收益,还有就是保持funstatus of the plan,那这个funstatus of the plan是The pension planhbeen able to funthe annupension payments without any corporatecontributions for a number of years. 也就是能cover退休人的退休金。所以也是要尽可能提高收益才能cover退休人的退休金。而且由于是长期投资,那么时间会抹平短期因为各种原因导致的暂时偏离资产的实际价值的下跌,所以应该选尽可能提高收益的——private equities。 说---这个题的这句话“The investment committee is interestein potentichanges to the asset mix thcoulincrease the probability of achieving the long-term investment target return of 5.5% while maintaining the funstatus of the plan.”首先提到了是长期投资,其二不仅仅是要保持5.5%的收益哪里看出来了不仅仅保持5.5%的收益呢?private equity 收益很高但是失败的概率也很大,这个是个pension fun最主要的目的不就是在尽可能可以cover liability的情况下获得稳定的收益吗?就像ALM管理一样,bon可以实现。

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