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zhoou · 2024年03月09日

alt investment benchmark

NO.PZ2022062601000010

问题如下:

High net worth investor Zhou and his investment advisor Jesse discussed shifting parts of his portfolio into alternative investments, Jesse said, My research over the past year has made me realize that alternative investments require different types of monitoring compared to the traditional asset classes I am currently investing in. Regarding performance benchmarks, we may have to rely on peer comparison, which is a good substitute for our market index for traditional asset classes, especially private equity and direct real estate investments. We cannot evaluate performance until the project is fully invested, which may require a lot of effort Years of time. In addition, unlike traditional asset classes, for alternative investments, we need to worry about how the behavior of other investors affects the performance of our investments

Which of Jesse's comments on monitoring alternative investments is most likely correct? Regarding:

选项:

A.

performance benchmarks.

B.

delays in assessing performance evaluation.

C.

the impact of other investors’ actions on performance.

解释:

C is correct. Many alternative investments use limited partnerships or similar structures, with each investor owning a fairly large portion of the fund. Strategies typically involve investing in illiquid assets. If a few investors pull out of a fund, managers may be forced to sell their positions at unfavorable times, resulting in poor performance for all investors. The remaining positions may also be particularly illiquid.

A is incorrect. Peer evaluation cannot effectively replace market price indices because it is difficult to identify a peer group with the same investment strategy as the evaluated manager. In addition, due to the lack of standards for constructing such benchmarks, different evaluators have conducted very different evaluations of the performance of the same manager.

B is not correct. Although it is difficult to evaluate the performance of investment plans that have not been fully invested, such as private equity investments or direct real estate investments, investors must still monitor market conditions to ensure that investment plans remain appropriate.

知识点考察:Monitoring the Investment Program

C是正确的。许多另类投资使用有限合伙或类似结构,每个投资者都拥有相当大的基金份额。策略通常涉及对非流动性资产的投资。如果少数投资者退出一只基金,经理们可能会被迫在不利的时候抛售头寸,导致所有投资者的业绩不佳。剩余头寸也可能特别缺乏流动性。

A不正确。同行评估不能很好地替代市场价格指数,因为很难确定一个与被评估经理具有相同投资策略的同行群体。此外,由于缺乏建立此类基准的标准,不同的评估人员对同一名管理人员的业绩进行了非常不同的评估。

B不正确。尽管很难评估未完全投资的投资计划(如私募股权投资或直接房地产投资)的绩效,但投资者仍必须监控市场状况,以确保投资计划保持适当。

基础班有讲custom index proxies和peer group comparisons可以作为另类投资业绩比较的benchmark,A选项为什么不对?

3 个答案

伯恩_品职助教 · 2024年07月28日

嗨,努力学习的PZer你好:


记得这门课还有一个题目也是问到各种alt的benchmark,用的是IG bond index和另一个什么指数,都是market index而且是正确的答案;结合这道题,所以alt最好的benchmark还是market index,比peer evaluation更好是吗?即使peer evaluation包含的资产类别可能更接近。。。(相比较于IG bond index)——同学你好,你说的那个题不太清楚,然后另类到底用哪个benchmark都不是最好的,每个都有问题,这个题不是说peer evaluation比market index好,只是说各有各的问题,没办法完美取代

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加油吧,让我们一起遇见更好的自己!

伯恩_品职助教 · 2024年07月03日

嗨,从没放弃的小努力你好:


那请问一般用什么benchmark和evaluation方法?周期多久,平时怎么监测?——Custom index proxies 和Peer group comparisons两种benchmark。其他的没有特殊规定

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

伯恩_品职助教 · 2024年03月10日

嗨,从没放弃的小努力你好:


Peer evaluation不能有效地取代市场价格指数,因为很难确定与被评估经理具有相同投资策略的同行群体。此外,由于缺乏建立此类基准的标准,不同的评估人员对同一管理人员的业绩进行了截然不同的评估。

简而言之,peer group comparisons可以作为另类投资业绩比较的benchmark,但并不是替代market index的理想。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

巴伦 · 2024年07月03日

那请问一般用什么benchmark和evaluation方法?周期多久,平时怎么监测?

Mahoosive · 2024年07月28日

记得这门课还有一个题目也是问到各种alt的benchmark,用的是IG bond index和另一个什么指数,都是market index而且是正确的答案;结合这道题,所以alt最好的benchmark还是market index,比peer evaluation更好是吗?即使peer evaluation包含的资产类别可能更接近。。。(相比较于IG bond index)

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