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Lich · 2023年06月19日

为什么不选c

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000013

问题如下：

Mukasa serves as a trustee of Channel’s defined-benefit pension plan. The plan’s current allocation is 60% global equities, 20% domestic government bonds, 15% domestic corporate bonds, and 5% cash. Mukasa is considering adding a new asset class to Channel’s pension fund to improve expected returns. Pai compiles data for three possible new asset classes (Exhibit 2).

Exhibit 2 Possible Asset Classes

Which asset class in Exhibit 2 is most likely to be considered for inclusion by Channel’s pension plan?

选项：

A.

Global real estate (REITs).

B.

Emerging markets equities.

C.

Global high-yield corporate bonds.

解释：

Global real estate is most likely to be considered for inclusion by Channel’s pension plan for any of the following reasons:

• Asset classes should be mutually exclusive for the purpose of asset allocation. Overlapping asset classes will reduce the effectiveness of asset allocation in controlling risk. Thus, given the plan’s current investment in global equities, emerging markets equities should be excluded from consideration. In addition, we assume that the plan’s current allocation to domestic corporate bonds includes both investment grade and high yields. While the high yield allocation is not explicitly defined, global high-yield corporate bonds are likely to overlap somewhat and should be excluded from consideration.

• Asset classes should be diversifying. A new asset class should not have extremely high expected correlations (over 0.95) with existing asset classes. Otherwise, the new asset class will be effectively redundant in a portfolio because it will duplicate risk exposures already present. None of the possible asset classes presented in the example have high expected correlations with the current portfolio.

• The asset classes as a group should make up a preponderance of world investable wealth. Selecting an asset allocation from a group of asset classes satisfying this criterion should increase expected return for a given level of risk (Sharpe ratio).

Based on global real estate’s Sharpe ratio (relatively high) and its correlation to the existing portfolio (reasonably low), while the existing portfolio’s Sharpe ratio is not provided, we can make a reasonable assumption that adding this asset class will likely improve the portfolio’s expected return.

Note that global real estate is the only asset class left after the two other asset classes were eliminated based on mutual exclusivity.

Other remaining criteria to help specify asset classes include: Assets within an asset class should be relatively homogeneous. Asset classes selected for investment should have the capacity to absorb a meaningful proportion of an investor’s portfolio without seriously affecting the portfolio’s liquidity.

如题，求解为啥不选c

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1 个答案

lynn_品职助教 · 2023年06月20日

嗨，努力学习的PZer你好：


这道题目中，我们需要确定在展示的三种资产类别中，哪一种最有可能被Channel养老金计划考虑纳入投资组合。


根据题目中的描述，我们可以得知Channel养老金计划目前的资产配置是60%的全球股票、20%的国内政府债券、15%的国内公司债券和5%的现金。Mukasa正在考虑向Channel的养老金基金中添加新的资产类别来提高预期回报。


我们需要根据以下几个标准来确定最合适的资产类别：


资产类别应该互相独立，以便进行资产配置。重叠的资产类别会降低资产配置的有效性，因此，考虑到计划目前对全球股票的投资，新兴市场股票应该被排除在考虑之外。此外，我们假设计划目前对国内公司债券的配置包括投资级和高收益债券。虽然高收益债券的配置没有明确定义，但全球高收益公司债券很可能会有一定的重叠，因此也应该被排除在考虑之外。


资产类别应该具有多样化。新的资产类别不应与现有资产类别的相关性非常高（超过0.95）。否则，新的资产类别将在投资组合中变得冗余，因为它将复制已经存在的风险敞口。在这个例子中，所提供的三种可能的资产类别都不会与当前投资组合有很高的相关性。


资产类别的总体应占据世界可投资财富的绝大部分。从一组满足这一标准的资产类别中选择资产配置，应该可以在给定风险水平下提高预期回报（夏普比率）。


C选项Global high-yield corporate bonds


风险较高：高收益公司债券通常具有较高的信用风险和市场风险，因此其价格波动较大，投资风险也较高。对于养老金计划这样的长期投资目标，我们需要更加注重资产的稳定性和可持续性。我们要根据夏普比率来分析就是风险收益都要看。


稳定性较差：高收益公司债券的收益率通常较高，但其收益率波动也较大，不够稳定。对于养老金计划这样的长期投资目标，我们需要更加注重资产的稳定性和可持续性。


配置比例受限：在一些国家和地区，高收益公司债券的投资比例受到限制，可能会影响资产配置的灵活性。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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