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好好学习向前进 · 2024年06月12日

关于liquidity和 low pairwise correlations的疑问

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NO.PZ202206210100000504

问题如下:

In the candidates’ responses to Fox regarding the relevant characteristics of asset classes, the statement that is least accurate is:

选项:

A.Kelly’s regarding correlations. B.Trainor’s. C.Kelly’s regarding rebalancing.

解释:

SolutioB is correct. Although Trainor is correct that asset classes should be diversifying, low pairwise correlations with other asset classes is not sufficient. An asset class may be highly correlated with some linear combination of the other asset classes even when pairwise correlations are not high. Both of Kelly’s comments are correct: Asset classes should have high within-group correlations but low correlations with other classes. If liquidity and transaction costs are unfavorable for an investment of a size meaningful for an investor, an asset class may not be a suitable investment for that investor.

B is correct. Although Trainor is correct that asset classes should be diversifying, low pairwise correlations with other asset classes is not sufficient. An asset class may be highly correlated with some linear combination of the other asset classes even when pairwise correlations are not high. Both of Kelly’s comments are correct: Asset classes should have high within-group correlations but low correlations with other classes. If liquidity and transaction costs are unfavorable for an investment of a size meaningful for an investor, an asset class may not be a suitable investment for that investor.

A is incorrect. Kelly’s first comment is correct about both the within-group and between class correlations.

C is incorrect. Kelly’s second comment is correct. The criteria that he is referring to is that asset classes should have the capacity to absorb a meaningful proportion of an investor’s portfolio. He is correct in saying that if liquidity and transaction costs are unfavorable for an investment of a size meaningful for an investor, an asset class may not be a suitable investment for the investor.

  • Kelly: I like to stress to clients that asset classes should have high within-group correlations but low correlations with other classes. In addition, because investors need to rebalance to a strategic asset allocation, asset classes need to have both sufficient liquidity and low transaction costs.
  • Trainor: It is important that asset classes should be diversifying. I always look for low pairwise correlations with other asset classes.


老师,题目中问的是least 准确性,也就找谁说的不对。


kelly说“asset classes need to have both sufficient liquidity and low transaction costs.”但是如果投资 real estate 这类资产的话,不可能要求高流动性和低成本啊,他的说法为什么是对的?

Trainor说“low pairwise correlations with other asset classes.”我看其他解答里,pairwise correlations是两两的相关性,也就是A与B、C要相关性低,且A与BC组合的相关性也要低,那他说的是low pairwise correlations,相关性低,这个说法为什么不对啊?

2 个答案

lynn_品职助教 · 2024年06月13日

嗨,从没放弃的小努力你好:


加油!

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努力的时光都是限量版,加油!

lynn_品职助教 · 2024年06月12日

嗨,爱思考的PZer你好:


1、kelly说“asset classes need to have both sufficient liquidity and low transaction costs.”但是如果投资 real estate 这类资产的话,不可能要求高流动性和低成本啊,他的说法为什么是对的?


这句话其实也是一个asset class的标准,在基础班讲义的66页。


这句话出发的角度其实是从为客户选定投资的asset class类别出发的,就是说选来做投资的资产类别要考虑到该资产的可投资性,具体表现在流动性和交易成本两个方面。在对客户做资产类别筛选时,要考虑客户的资产量和对投资的一些限制。


如果投资一项资产所需要的资金量非常庞大,那么对于一个个人投资者来说并不是适合的投资标的。

2、就是不能有pairwise呀。


这里涉及原版书上一个非常细小的结论,diversifying不仅仅要求两两之间相关性系数低,还要求某个资产类型与其它资产大类的组合之间的相关性系数低。


也就是说,不仅A与B、A与C、B与C资产类型两两之间相关性系数低,A与BC组合的相关性系数也要低。而pairwise就是只有两两之间低


经典题有答案版P10 3.1有讲过。原版书结论用黄色标注:

---------------------------------------

这句话应该修改成什么呢?I always look for low pairwise correlations with other asset classes.


改成I always look for low correlations with other asset classes.相关性都要低。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

好好学习向前进 · 2024年06月12日

明白了,谢谢老师!

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