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cy g. · 2024年01月17日

此类问题的回答是否需要写出asset的6 个要求

NO.PZ2022122801000012

问题如下:

Roggen Family Charitable Foundation (RFCF)’s current portfolio is valued at EUR 250 million, with 50% in equities and 50% in fixed income. The portfolio’s equity holdings are in a fund tracking a broad index of EUR-denominated stocks; the fixed-income holdings are in a fund tracking an all-maturity index of EUR- denominated government bonds.

To better diversify the policy asset allocation globally, Loucks specifically recommends that Roggen consider adding the following four asset classes:

Ÿ Non-EUR developed market equities

Ÿ Emerging market equities

Ÿ Broad EUR fixed income, including government and credit

Ÿ Alternative investments, including real estate, commodities, and private equity

Discuss, with two reasons, why the set of six asset classes (current portfolio plus Loucks’ recommendations) for the RFCF policy asset allocation are not appropriately specified.

选项:

解释:

There are five criteria that should be met for a set of asset classes to be appropriately specified:

Ÿ Assets within an asset class should be relatively homogeneous

Ÿ Asset classes should be mutually exclusive

Ÿ Asset classes should be diversifying

Ÿ The asset classes as a group should make up a preponderance of world investable wealth

Ÿ The asset class should have the capacity to absorb a significant fraction of the investor’s portfolio without seriously affecting the portfolio’s liquidity

Loucks’ set of six asset classes is not appropriately specified because:

1) Adding broad EUR fixed income exposure violates the second criterion – that asset classes should be mutually exclusive. RFCF already has exposure to EUR-denominated government bonds. The broad EUR fixed income exposure contains both EUR-denominated government bonds and EUR-denominated credit bonds. This addition creates overlap between the existing asset class and the new asset class.

2) Even if all four of the recommended asset classes are added, the fourth criterion is not satisfied: the RFCF portfolio would still not have any exposure to non-EUR bonds (and potentially other asset classes).

3) Placing real estate, commodities, and private equity into a single asset class violates the first criterion: assets within an asset class should be relatively homogeneous.

在回答时, 直接写出两个原因就可以么? 需要写出asset的6点要求么?

1 个答案

lynn_品职助教 · 2024年01月17日

嗨,爱思考的PZer你好:


在回答时, 直接写出两个原因就可以么? 需要写出asset的6点要求么?


直接写,不用写六点要求,这里是为了讲解知识点。

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