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Felix Young · 2024年01月21日

能不能这么理解？

  1. CFA III
  2. Alternative

NO.PZ2023010407000026

问题如下：

Eileen Gension is a portfolio manager for Zen-Alt Investment Consultants (Zen-Alt), which assists institutional investors with investing in alternative investments. Charles Smittand is an analyst at Zen-Alt and reports to Gension. Gension and Smittand discuss a new client, the Benziger University Endowment Fund (the fund), as well as a prospective client, the Opeptaja Pension Plan (the plan).

The fund’s current portfolio is invested primarily in public equities, with the remainder invested in fixed income. The fund’s investment objective is to support a 6% annual spending rate and to preserve the purchasing power of the asset base over a 10-year time horizon. The fund also wants to invest in assets that provide the highest amount of diversification against its dominant equity risk. Gension considers potential alternative investment options that would best meet the fund’s diversification strategy.

Which asset class would best satisfy the Fund’s diversification strategy?

选项：

A.

Private equity

B.

Private real estate

C.

Absolute return hedge fund

解释：

C is correct. An absolute return hedge fund has a greater potential to diversify the fund’s dominant public equity risk than either private equity or private real estate. Absolute return hedge funds exhibit an equity beta that is often less than that of private equity or private real estate. Also, absolute return hedge funds tend to exhibit a high potential to diversify public equities, whereas equity long/short hedge funds exhibit a moderate potential to fulfill this role.

A is incorrect because although private equity provides moderate diversification against public equity, an absolute return hedge fund has a greater potential to do so. The primary advantage of private equity is capital growth.

B is incorrect because private real estate provides only moderate diversification against public equity, whereas absolute return hedge funds have a greater potential to do so. The primary advantage of private real estate is income generation.

能不能这么理解？ Absolute return hedge fund 相比于 private real estate ，与 equity 和 bonds 的关联性更低； private real estate 与 equity 和 bonds 的关联性更高一些

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伯恩_品职助教 · 2024年01月22日

嗨，爱思考的PZer你好：


可以的。甚至可以这么说，absolute return HF可以说equity、bond几乎没关系了

 private real estate 与 equity 和 bonds 的关联性也很低，只是相对absolute return HF更高一些

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