这句话是什么意思呢？

问题如下：

High net worth client John told his investment advisor Bourne that he wants to shift a portion of his portfolio assets into alternative investments, Bourne said, As we move toward an increased allocation to alternative investments (especially private assets) We may wish to shift from traditional asset allocation approach to a risk-factor-based approach. The advantage of traditional methods is that they are easier to communicate compared to risk-factor-based approaches. However, traditional approaches often commingle assets with very different risk characteristics in the same asset classes, resulting in investment portfolios having the same asset allocation but very different risks. Unlike traditional approach, systematic risk factors do equally well at explaining the risk and return patterns of public and private assets.

Which aspect of Bourne’s statement of the traditional approach to asset allocation versus a risk-factor-based approach is least likely correct?

选项：

A.

Commingling of assets into asset classes

B.

Explaining the risk and returns of various assets

C.

The relative ease of communicating the two approaches

解释：

B is correct. Bourne is incorrect about the ability of risk-factor approaches to explain both public and private asset behavior. The system risk factor approach can usually explain most or all of the risk and return patterns of public assets, but these patterns are much less common for private assets. This is due to the widespread use of appraisal-based valuation for private assets, as well as the idiosyncratic risks inherent in individual funds.

A is incorrect. Bourne is correct, as traditional approaches typically commingle assets with very different risk characteristics into the same broad asset class - for example, when high-yield fixed income securities and government bonds are both included in the fixed income allocation.

C is incorrect. Bourne is correct, explaining traditional approaches to asset allocation is easier than explaining risk-based approaches.

知识点考察：Risk-Based Approaches to Asset Classification

B是正确的。Bourne关于风险因素方法解释公共和私人资产行为的能力是不正确的。系统风险因素方法通常可以解释公共资产的大部分或全部风险和回报模式，但私人资产的这些模式要少得多。这是由于私人资产普遍使用基于评估的估值，以及个别基金存在的特殊风险。

A不正确。Bourne是正确的，传统方法通常将具有非常不同风险特征的资产混合到相同的广泛资产类别中——例如，当高收益固定收益证券和政府债券都包含在投资组合的固定收益分配中时。

C不正确。Bourne是正确的，解释传统的资产配置方法比解释基于风险的方法更容易。

因为广泛、被动的传统公共资产类别的行为能够由系统性风险因素完全或几乎完全解释。而在另类资产类别中，应该有相对较大的部分无法解释的风险。这是源于私募股权基金的appraisal-based valuation和异质风险或主动管理导致的对冲基金的异质风险等问题。 （对冲基金策略产生的回报应该主要由 alpha 而不是系统性风险因素驱动。）所以B选项是错的。

下图截取自原版书。