NO.PZ2022062601000019
问题如下:
The asset allocation of investment fund A is approximately 60% broad fixed income and 40% publicly traded equity. Fund manager Bourne is considering reallocating half of the fixed-income allocation to alternative assets.
Bourne said, "Given the low correlation between real estate and stocks, as well as lower equity beta., reallocating some fixed-income to public real estate will lead to a more diversified portfolio. In addition, public real estate investments are highly liquid and do not require long-term commitment from others to alternative investments, such as private equity and hedge funds."
Is Bourne's comment on the potential reallocation results from fixed income to real estate most likely correct?
选项:
A.Yes, he is correct.
No, he is incorrect regarding the liquidity.
No, he is incorrect regarding the diversification benefits.
解释:
C is correct. Public real estate has a significant positive correlation with equities, as well as a high positive equity beta. In contrast, fixed income is generally negatively correlated with equity, while the beta is small but negative. Moving from fixed income to real estate may reduce portfolio diversification and increase return volatility.
A is incorrect. Bourne's view of diversified benefits is incorrect.
B is not correct. Public real estate investment has high liquidity.
知识点考察:role of different alternative investments
C 是正确的。Public real estate与股票具有相当高的正相关性,以及较高的正股票贝塔系数。相比之下,固定收益与股票普遍呈负相关,股票贝塔系数虽小但为负。从固定收益转向房地产可能会减少投资组合的多样化并增加回报波动。
A不正确。Bourne对多元化的看法是错误的。
B不正确。公共房地产投资具有很高的流动性。
C 是正确的。Public real estate与股票具有相当高的正相关性,以及较高的正股票贝塔系数