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1、Question:#1Topic:InstitutionalPMMinutes:20ReadingReferences:#13-fc4ManagingInstitutionalInvestorPortfbIiOSJbyR.CharlesTschampion,CFA,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,CFA1.OS:Thecandidateshouldbeableto:a.contrastadefined-benefitplantoadcfined-contributionplananddiscusstheadvantagesand
2、disadvantagesofeachfromtheperspectivesoftheemployeeandtheemployer;b.discussinvestmentobjectivesandconstraintsfordefined-benefitplans;c.evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe1)plansurplus,2)sponsorfinancialstatusandprofitability,3)sponsorandpensionfundcommonriskex
3、posures,4)planfeatures,and5)workforcecharacteristics;d.prepareaninvestmentpolicystatementforadefined-benefitplan;e.evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f.prepareaninvcsncntpolicystatementforaparticipantdirecteddcfincd-contributionplan;g.discusshybridpensionplans(e.g.,c
4、ashbalanceplans)andemployeestockownershipplans;h.distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,purpose,andsourceoffunds;icomparetheinvestmentobjectivesandconstraintsoffoundations,endowments,insurancecompanies,andbanks;j.discussthefactorsthatdetermineinvestmentpolicyforpensi
5、onfundsfoundationendowments,lifeandnon-lifeinsurancecompanies,andbanks;k.prepareaninvestmentpolicystatementforafoundation,anendowment,aninsurancecompany,andabank;1.contrastinvestmentcompanies,commoditypools,andhedgefundstoothertypesofinstitutionalinvestors;paretheasset/liabilitymanagementneedsofpens
6、ionfunds,foundations,endowments,insurancecompanies,andbanks;paretheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.Answer QuestionI-Aon This Page1-A.Calculatethereturnrequirementtofullyfundeachsubscript
7、ionoption.Determinewhichsubscriptionoptionismostappropriatefortheendowment,givenitsobjectiveandriskmanagementpractices.Justifyyourresponse.Note:Usearithmeticreturns,ratherthangeometricreturns,forthereturnrequirementcalculations.BasicTheinvestablebaseafterpaymentoftheone-timeimmediateinitiationfeeis:
8、InvestablebaseBaSiC=USD21,000,000-USD500,000=USD20,500,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD800,000/USD20,500,000=.0390=3.9%ReturnrequirementBasic=3.9%+0.5%+2%+1%=7.4%PremiumTheinvesta
9、blebaseafterpaymentoftheone-timeimmediateinitiationfeeis:Investablebasepremium=USD21,000,000一USD1,000,000=USD20,000,000Thereturnrequirementiscalculatedusingthesumoftheannualsubscriptionexpenseasapercentageoftheinvestablebase,themanagementfees,andtotalpriceinflation.USD1,000,000/USD20,000,000=.0500=5
10、.0%Returnrequirementpremium=5.0%+0.5%+2%1%=8.5%TheBasicoptionismostappropriatebecauseitsreturnrequirementisbelowtheendowmentsreturnexpectation.Theexpectedportfoliosurpluscanthenbeusedasacushiontomaintainpurchasingpowerifinvestmentperfbrancedeterioratesintheshortterm.ThePremiumoptionisnotappropriateb
11、ecauseitsreturnrequirementexactlyequalstheendowmentstotalreturnexpectation.Thiswouldmostlikelyimpairtheportfblio,sabilitytomaintainpurchasingpowerduetothevolatilityoftheendowment,sexpectedreturns.MonteCarlosimulationsshowthatthereturnrequirementcanbesafelysetequaltothereturnexpectationonlyifexpected
12、returnshavenovolatility.Answer QuestionI-Bon This PageIBDiscuss,otherthantheportfolioreturnrequirement,onefactorthat:(seei.andii.below)Note:Restatingcasefactswithoutadditionalsupportwillnotreceivecredit.i.decreasestheendowmentsabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatdecrease
13、theendowmentsabilitytotakeriskareasfollows:Theendowmentssupporttotheuniversityisessentialinkeepingtheuniversitycompetitive.Therefore,disruptioninthesubscriptionserviceduetopoorreturnswouldhaveseriousconsequences.Theendowmentisnotexpectedtoreceiveanydonationsintheforeseeablefuture.Lackofadditionalcon
14、tributionslimitsthesizeoftheinvestablebaseandreducestheportfoliosabilitytoabsorblosses.ii.increasestheendowmentsabilitytotakerisk.Thefactors(unrelatedtothereturnrequirement)thatincreasetheendowmentsabilitytotakeriskarcasfollows:Theinvestmenthorizonisperpetual,allowingtimetomakeupforpoorshort-terminv
15、estmentreturns.Thefundreinvestsanysurplus,resultinginanincreasedabilitytomaintainpurchasingpower.AnswerQuestionDeterminewhetherthefoundationsabilitytotakeriskislowerthan,thesameas,orhigherthanthatoftheSophoCollegelibraryendowment,(circleone)onThisPageJustifyryourresponsewithtworeasons.ThePrairieFoun
16、dationsabilitytotakeriskishigherthanthatoftheSophoCollegeendowmentforthefollowingreasons:lowerthanTheSophoCollegeendowmentdoesnotexpectanyfuturedonations,whereasthePrairiefoundationrecentlyreceivedasubstantialcommitmentrelativetoitsmarketvalue.ThePrairieFoundationdoesnothaveacommitmenttofundspecificgrants,whereastheSophoColleg
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