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次第花开 · 2019年12月07日

问一道题：NO.PZ2018110601000024

  1. CFA III
  2. Asset Allocation

问题如下：

The SH University Endowment is a very large tax-exempt fund financed from students’ tuition fee, with the current strategic asset allocations presented below.

The manager of Endowment forecast the expected excess return of each asset class. In order to capture the short-term return opportunities, the Endowment can:

选项：

A.

increase the allocation of Private equity to 15% and decrease the allocation of real estate to 5%.

B.

increase the allocation of small-cap equities to 32% and decrease the allocation of large-cap equities to 38%

C.

decrease the allocation of large-cap equities to 40% and increase the allocation of short-term bonds to 12%.

解释：

A is correct.

考点：tactical asset allocation

解析：应当增加excess return高的资产比重，降低excess return低的资产比重。但是权重变化不能超过target weight的上下限。

此处的target allocation是指SAA的么？weight的变化是怎么看的呢，谢谢老师

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已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2019年12月07日

嗨，努力学习的PZer你好：


是的，此处的target allocation是SAA。

如题干所述，现在要抓短期机会（ capture the short-term return opportunities），所以用的是 tactical asset allocation。符合下面两个条件的就是正确选项：1）对于excess return>0的，短期我们可以增加投资权重，对于excess return<0的，短期我们可以减少权重。2）不管权重是增是减，都不能超过权重的上下限lower/upper limit。符合这两个条件的只有A选项。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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