NO.PZ2022122801000013
问题如下：
Mukasa serves as a trusteeof 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’spension fund to improve expected returns. Pai compiles data for three possiblenew asset classes (Exhibit 2).
Exhibit 2 Possible Asset Classes
Whichasset class in Exhibit 2 is most likely to be considered for inclusion byChannel’s pension plan?
选项：
A.
Global real estate (REITs).
B.
Emerging markets equities.
C.
Global high-yield corporate bonds.
解释：
Global real estateis most likely to be considered for inclusion by Channel’s pension plan for anyof the following reasons:
• Asset classesshould be mutually exclusive for the purpose of asset allocation. Overlappingasset classes will reduce the effectiveness of asset allocation in controllingrisk. Thus, given the plan’s current investment in global equities, emergingmarkets equities should be excluded from consideration. In addition, we assumethat the plan’s current allocation to domestic corporate bonds includes both investmentgrade and high yields. While the high yield allocation is not explicitly defined,global high-yield corporate bonds are likely to overlap somewhat and should beexcluded from consideration.
• Asset classesshould be diversifying. A new asset class should not have extremely highexpected correlations (over 0.95) with existing asset classes. Otherwise, thenew asset class will be effectively redundant in a portfolio because it willduplicate risk exposures already present. None of the possible asset classespresented in the example have high expected correlations with the currentportfolio.
• The assetclasses as a group should make up a preponderance of world investable wealth.Selecting an asset allocation from a group of asset classes satisfying this criterionshould increase expected return for a given level of risk (Sharpe ratio).
Based on globalreal estate’s Sharpe ratio (relatively high) and its correlation to the existingportfolio (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 improvethe portfolio’s expected return.
Note that globalreal estate is the only asset class left after the two other asset classes wereeliminated based on mutual exclusivity.
Other remainingcriteria to help specify asset classes include: Assets within an asset classshould be relatively homogeneous. Asset classes selected for investment shouldhave the capacity to absorb a meaningful proportion of an investor’s portfoliowithout seriously affecting the portfolio’s liquidity.
看了其他同学的提问解答，问题是我不需要自己yy, 题目不是已经明确给出了correlation, REITS和emerging mkt对现有portfolio的correlation就是一样的，同样correlation的情况下，REITS的分散化更好我认为解释不通，因为题目说了REITS是global REITS, EQUITY是EMERGING MKT EQUITY, 谁分散化更好还真不一定，恰好题目明确说了CORRELATION就是一样的，那为什么不选Sharpe ratio更高的？我认为此题答案是有问题的
