CFA三級原版書課后題：另類投資投資組合管理-打印版

Management

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AssetAllocationtoAlternative

Investments

Case:KevinKroll

?KevinKrollisthechairoftheinvestmentcommitteeresponsibleforthe

governanceoftheShireManufacturingCorporation(SMC)definedbenefit

pensionplan.Thepensionfundiscurrentlyfullyfundedandhasfollowedan

assetmixof60%publicequitiesand40%bondssinceKrollhasbeenchair.Kroll

meetswithMaryPark,anactuarialandpensionconsultant,todiscussissues

raisedatthelastcommitteemeeting.

?Krollnotesthattheinvestmentcommitteewouldliketoexplorethebenefitsof

addingalternativeinvestmentstothepensionplan’sstrategicassetallocation.

Krollstates:

?Statement1Thecommitteewouldliketoknowwhichalternativeassetwould

bestmitigatetheriskstotheportfolioduetounexpectedinflationandalso

havearelativelylowcorrelationwithpublicequitiestoprovidediversification

benefits.

Case:KevinKroll

?TheSMCpensionplanhasbeenabletofundtheannualpensionpayments

withoutanycorporatecontributionsforanumberofyears.Thecommitteeis

interestedinpotentialchangestotheassetmixthatcouldincreasethe

probabilityofachievingthelong-terminvestmenttargetreturnof5.5%while

maintainingthefundedstatusoftheplan.Parknotesthatfixed-incomeyields

areexpectedtoremainlowfortheforeseeablefuture.Krollasks:

?Statement2Ifthepublicequityallocationremainsat60%,isthereasingle

assetclassthatcouldbeusedforthebalanceoftheportfoliotoachievethe

greatestprobabilityofmaintainingthepensionfundingstatusoveralongtime

horizon?Underthishypotheticalscenario,thebalanceoftheportfoliocanbe

allocatedtoeitherbonds,hedgefunds,orprivateequities.

Case:KevinKroll

?ParkconfirmswithKrollthatthecommitteehashistoricallyusedatraditional

approachtodefinetheopportunitysetbasedondistinctmacroeconomic

regimes,andsheproposesthatarisk-basedapproachmightbeabetter

method.Althoughthetraditionalapproachisrelativelypowerfulforitsabilityto

handleliquidityandmanagerselectionissuescomparedtoarisk-based

approach,theybothacknowledgethatanumberoflimitationsareassociated

withtheexistingapproach.

Case:KevinKroll

?Parkpresentsareport(Exhibit1)thatproposesanewstrategicassetallocation

forthepensionplan.Krollstatesthatoneoftheconcernsthattheinvestment

committeewillhaveregardingthenewallocationisthatthepensionfundneeds

tobeabletofundanupcomingearlyretirementincentiveprogram(ERIP)that

SMCwillbeofferingtoitsemployeeswithinthenexttwoyears.Employeeswho

havereachedtheageof55andwhoseageaddedtothenumberofyearsof

companyservicesumto75ormorecanretire10yearsearlyandreceivethe

definedbenefitpensionnormallypayableatage65.

Case:KevinKroll

Exhibit1ProposedAssetAllocationofSMCDefinedBenefitPensionPlan

Public

Equities

Private

Equities

Hedge

Funds

Public

Real

Estate

10%

Total

45%

10%

35%–55%15%–35%0%–12%

0%–12%

Case:KevinKroll

?KrollandParkthendiscusssuitabilityconsiderationsrelatedtotheallocationin

Exhibit1.Krollunderstandsthatoneofthedrawbacksofincludingtheproposed

alternativeassetclassesisthatdailyreportingwillnolongerbeavailable.

Investmentreportsforalternativeswilllikelybereceivedaftermonthlyor

quarter-enddeadlinesusedfortheplan’straditionalinvestments.Park

emphasizesthatinatypicalprivateequitystructure,thepensionfundmakesa

commitmentofcapitaltoablindpoolaspartoftheprivateinvestment

partnership.

?Inordertoexplainthenewstrategicassetallocationtotheinvestment

committee,KrollasksParkwhyariskfactor-basedapproachshouldbeused

ratherthanamean–variance-optimizationtechnique.Parkmakesthefollowing

statements:

Case:KevinKroll

?Statement3Riskfactor-basedapproachestoassetallocationproducemore

robustassetallocationproposals.

?Statement4Amean–varianceoptimizationtypicallyoverallocatestotheprivate

alternativeassetclassesduetostalepricing.

?Parknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabear

marketwithinafewyears.KrollasksParktodiscussthepotentialimpacton

liquidityplanningassociatedwiththeactionsofthefund’sgeneralpartnersin

theforecastedenvironment.

Case:KevinKroll

?KrollconcludesthemeetingbyreviewingtheinformationinExhibit2pertaining

tothreepotentialprivateequityfundsanalyzedbyPark.Parkdisclosesthe

followingduediligencefindingsfromarecentmanagersearch:FundAretains

administrators,custodians,andauditorswithimpeccablereputations;FundBhas

achieveditsperformanceinamannerthatappearstoconflictwithitsreported

investmentphilosophy;andFundChasrecentlyexperiencedthelossofthree

keypersons.

Exhibit2PotentialPrivateEquityFunds,InternalRateofReturn(IRR)

PrivateEquityFund

FundA

FundB

FundC

5-yearIRR

12.9%

13.2%

13.1%

Case:KevinKroll

B.privateequities.

C.commodityfutures.

Case:KevinKroll

?Solution:C.

Realassets(whichincludeenergy,infrastructure,timber,commodities,and

farmland)aregenerallybelievedtomitigatetheriskstotheportfolioarising

fromunexpectedinflation.Commoditiesactasahedgeagainstacore

constituentofinflationmeasures.Ratherthaninvestingdirectlyintheactual

commodities,commodityfuturesmaybeincorporatedusingamanaged

futuresstrategy.Inaddition,thecommitteeislookingforanassetclassthathas

alowcorrelationwithpublicequities,whichwillprovidediversificationbenefits.

Commoditiesareregardedashavingmuchlowercorrelationcoefficientswith

publicequitiesthanwithprivateequitiesandhedgefunds.Therefore,

commoditieswillprovidethegreatestpotentialtofulfilltheindicatedroleand

todiversifypublicequities.

Case:KevinKroll

?InansweringthequestionraisedinStatement2,Parkwouldmostlikely

recommend:

A.bonds.

Case:KevinKroll

?Solution:C.

Whenprojectingexpectedreturns,theorderofreturnsfromhighesttolowest

istypicallyregardedasprivateequities,hedgefunds,bonds.Therefore,the

probabilityofachievingthehighestportfolioreturnwhilemaintainingthe

fundedstatusoftheplanwouldrequiretheuseofprivateequitiesin

conjunctionwithpublicequities.Inaddition,privateequitieshaveahigh/strong

potentialtofulfilltheroleofcapitalgrowth.Fixed-incomeinvestmentsare

expectedtohaveahigh/strongpotentialtofulfilltheroleofsafety.

Case:KevinKroll

?Alimitationoftheexistingapproachusedbythecommitteetodefinethe

opportunitysetisthatit:

A.isdifficulttocommunicate.

Case:KevinKroll

?Solution:B.

Atraditionalapproachhasbeenusedtodefinetheopportunitysetbasedon

differentmacroeconomicconditions.Theprimarylimitationsoftraditional

approachesarethattheyoverestimatetheportfoliodiversificationandobscure

theprimarydriversofrisk.

Case:KevinKroll

?BasedonExhibit1andtheproposedassetallocation,thegreatestrisk

associatedwiththeERIPis:

Case:KevinKroll

?Solution:C.

Withtheintroductionoftheearlyretirementincentiveplan(ERIP),thedefined

benefitpensionplanwilllikelybecalledupontomakepensionpayments

earlierthanoriginallyscheduled.Asaresult,theneartermliquidityoftheplan

isthegreatestriskarisingfromtheadditionofthealternativeassetclasses(e.g.,

privateequities,hedgefunds,andrealestate).Investmentsinalternatives,such

asprivateequities,cantakeupwardsoffiveyearstoreachafullcommitment

andpotentiallyanotherdecadetounwind.

Case:KevinKroll

?ThesuitabilityconcerndiscussedbyKrollandParkmostlikelydealswith:

A.governance.

B.transparency.

C.investmenthorizon.

Case:KevinKroll

?Solution:B.

Thepensionplan’sinvestmentinprivateequitiesviaablindpoolpresentsthe

prospectthatlessthanperfecttransparencywillbeassociatedwiththe

underlyingholdingsofthealternativeassetmanager.Capitaliscommittedfor

aninvestmentinaportfolioofassetsthatarenotspecifiedinadvance.In

addition,reportingforalternativefundsisoftenlesstransparentthaninvestors

areaccustomedtoseeingontheirstockandbondportfolios.

Case:KevinKroll

?WhichofPark’sstatementsregardingtheassetallocationapproachesiscorrect?

A.OnlyStatement3

B.OnlyStatement4

C.BothStatement3andStatement4

Case:KevinKroll

?Solution:C.

Statement3iscorrectbecauseriskfactor-basedapproachestoassetallocation

canbeappliedtodevelopmorerobustassetallocations.Statement4iscorrect

becauseamean–varianceoptimizationtypicallyoverallocatestotheprivate

alternativeassetclasses,partlybecauseofunderestimatedriskduetostale

pricingandtheassumptionthatreturnsarenormallydistributed.

Case:KevinKroll

?Basedontheforecastedenvironment,liquidityplanningshouldtakeinto

accountthatgeneralpartnersmay:

A.callcapitalataslowerpace.

Case:KevinKroll

?Solution:C.

Parknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabear

marketwithinafewyears.Liquidityplanningshouldtakeintoaccountthat

underascenarioinwhichpublicequitiesandfixed-incomeinvestmentsare

expectedtoperformpoorly,generalpartnersmayexerciseanoptiontoextend

thelifeofthefund.

Case:KevinKroll

?BasedonExhibit2andPark’sduediligence,thepensioncommitteeshould

considerinvestingin:

Case:KevinKroll

Solution:A.

FundAshouldbeselectedbasedonbothquantitativeandqualitativefactors.Fund

Ahasafive-yearIRR(12.9%)thatissligh