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).
Emerging markets equities.
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.
MCTR和ACTR分别是什么，需要掌握的公式有哪些？
