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1、一鼠ll裕lf您IIIVHO1KevinKrollisthechairoftheinvestmentcommitteeresponsibleforthegovernanceoftheShireManufacturingCorporation(SMC)definedbenefitpensionplan.Thepensionfundiscurrentlyfullyfundedandhasfollowedanassetmixof60%publicequitiesand40%bondssinceKrollhasbeenchair.KrollmeetswithMaryPark,anactuarialan
2、dpensionconsultant,todiscussissuesraisedatthelastcommitteemeeting.Krollnotesthattheinvestmentcommitteewouldliketoexplorethebenefitsofaddingalternativeinvestmentstothepensionplansstrategicassetallocation.Krollstates:Statement1Thecommitteewouldliketoknowwhichalternativeassetwouldbestmitigatetherisksto
3、theportfolioduetounexpectedinflationandalsohavearelativelylowcorrelationwithpublicequitiestoprovidediversificationbenefits.ATheSMCpensionplanhasbeenabletofundtheannualpensionpaymentswithoutanycorporatecontributionsforanumberofyears.Thecornitteeisinterestedinpotentialchangestotheassetmixthatcouldincr
4、easetheprobabilityofachievingthelong-terminvestmenttargetreturnof5.5%whilemaintainingthefundedstatusoftheplan.Parknotesthatfixed-incomeyieldsareexpectedtoremainlowfortheforeseeablefuture.Krollasks:AStatement2Ifthepublicequityallocationremainsat60%,isthereasingleassetclassthatcouldbeusedforthebalance
5、oftheportfoliotoachievethegreatestprobabilityofmaintainingthepensionfundingstatusoveralongtimehorizon?Underthishypotheticalscenario,thebalanceoftheportfoliocanbeallocatedtoeitherbonds,hedgefunds,orprivateequities.HAParkconfirmswithKrollthatthecommitteehashistoricallyusedatraditionalapproachtodefinet
6、heopportunitysetbasedondistinctmacroeconomicregimes,andsheproposesthatarisk-basedapproachmightbeabettermethod.Althoughthetraditionalapproachisrelativelypowerfulforitsabilitytohandleliquidityandmanagerselectionissuescomparedtoarisk-basedapproach,theybothacknowledgethatanumberoflimitationsareassociate
7、dwiththeexistingapproach.AParkpresentsareport(Exhibit1)thatproposesanewstrategicassetallocationforthepensionplan.Krollstatesthatoneoftheconcernsthattheinvestmentcommitteewillhaveregardingthenewallocationisthatthepensionfundneedstobeabletofundanupcomingearlyretirementincentiveprogram(ERIP)thatSMCwill
8、beofferingtoitsemployeeswithinthenexttwoyears.Employeeswhohavereachedtheageof55andwhoseageaddedtothenumberofyearsofcompanyservicesumto75ormorecanretire10yearsearlyandreceivethedefinedbenefitpensionnormallypayableatage65.1Exhibit1ProposedAssetAllocationofSMCDefinedBenefitPensionPlanPublicEquitiesBroa
9、dFixedIncomeHedgeFundsPublicRealEstateTotal45%25%10%10%100%35%-55%15%-35%0%-12%0%-12%AKrollandParkthendiscusssuitabilityconsiderationsrelatedtotheallocationinExhibitLKrollunderstandsthatoneofthedrawbacksofincludingtheproposedalternativeassetclassesisthatdailyreportingwillnolongerbeavailable.Investme
10、ntreportsforalternativeswilllikelybereceivedaftermonthlyorquarter-enddeadlinesusedfortheplanstraditionalinvestments.Parkemphasizesthatinatypicalprivateequitystructure,thepensionfundmakesacommitmentofcapitaltoablindpoolaspartoftheprivateinvestmentpartnership,cfafrmcpacmavideo,weixin:804283381AInorder
11、toexplainthenewstrategicassetallocationtotheinvestmentcommittee,KrollasksParkwhyariskfactor-basedapproachshouldbeusedratherthanamean-variance-optimizationtechnique.Parkmakesthefollowingstatements:Statement3Riskfactor-basedapproachestoassetallocationproducemorerobustassetallocationproposals.Statement
12、4Amean-varianceoptimizationtypicallyoverallocatestotheprivatealternativeassetclassesduetostalepricing.Parknotesthatthecurrentmacroeconomicenvironmentcouldleadtoabearmarketwithinafewyears.KrollasksParktodiscussthepotentialimpactonliquidityplanningassociatedwiththeactionsofthefund,sgeneralpartnersinth
13、eforecastedenvironment.HAKrollconcludesthemeetingbyreviewingtheinformationinExhibit2pertainingtothreepotentialprivateequityfundsanalyzedbyPark.Parkdisclosesthefollowingduediligencefindingsfromarecentmanagersearch:FundAretainsadministrators,custodians,andauditorswithimpeccablereputations;FundBhasachi
14、eveditsperformanceinamannerthatappearstoconflictwithitsreportedinvestmentphilosophy;andFundChasrecentlyexperiencedthelossofthreekeypersons.Exhibit2PotentialPrivateEquityFunds,InternalRateofReturn(IRR)PrivateEquityFundFundAFundBFundC5-yearIRR12.9%13.2%13.1%4N1ABasedonStatement1,Parkshouldrecommend:A.
15、hedgefunds.B.privateequities.C.commodityfutures.1Realassets(whichincludeenergy,infrastructure,timber,commodities,andfarmland)aregenerallybelievedtomitigatetheriskstotheportfolioarisingfromunexpectedinflation.Commoditiesactasahedgeagainstacoreconstituentofinflationmeasures.Ratherthaninvestingdirectlyintheactualcommodities,commodityfuturesmaybeincorporatedusingamanagedfuturesstrategy.Inaddition,thecommitteeislookingforanassetclassthathasalowcorrelationwithpublicequities,whichwillprovidediversificationbenefits.Commoditiesareregardedashavingmuchlower
