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洁1017 · 2024年07月14日

是否有size的考量？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000012

问题如下：

Roggen Family CharitableFoundation (RFCF)’s current portfolio is valued at EUR 250 million, with 50% inequities and 50% in fixed income. The portfolio’s equity holdings are in a fundtracking a broad index of EUR-denominated stocks; the fixed-income holdings arein a fund tracking an all-maturity index of EUR- denominated government bonds.

To betterdiversify the policy asset allocation globally, Loucks specifically recommendsthat Roggen consider adding the following four asset classes:

Ÿ Non-EUR developed marketequities

Ÿ Emerging market equities

Ÿ Broad EUR fixed income, including government and credit

Ÿ Alternative investments, including real estate, commodities, andprivate equity

Discuss, with two reasons, why the set of six asset classes (current portfolioplus Loucks’ recommendations) for the RFCF policy asset allocation are notappropriately specified.

解释：

There are fivecriteria that should be met for a set of asset classes to be appropriatelyspecified:

Ÿ Assets within an asset classshould be relatively homogeneous

Ÿ Asset classes should be mutually exclusive

Ÿ Asset classes should be diversifying

Ÿ The asset classes as a group should make up a preponderance of worldinvestable wealth

Ÿ The asset class should have the capacity to absorb a significantfraction of the investor’s portfolio without seriously affecting the portfolio’sliquidity

Loucks’ set of sixasset classes is not appropriately specified because:

1) Adding broadEUR fixed income exposure violates the second criterion – that asset classesshould be mutually exclusive. RFCF already has exposure to EUR-denominatedgovernment bonds. The broad EUR fixed income exposure contains bothEUR-denominated government bonds and EUR-denominated credit bonds. Thisaddition creates overlap between the existing asset class and the new assetclass.

2) Even if all fourof the recommended asset classes are added, the fourth criterion is notsatisfied: the RFCF portfolio would still not have any exposure to non-EURbonds (and potentially other asset classes).

3) Placing realestate, commodities, and private equity into a single asset class violates thefirst criterion: assets within an asset class should be relatively homogeneous.

老师，能否以size角度分析不适合的原因？因为该基金size是250million，小于500million，属于small institution. 该基金现有组合外，有可能没有足够金额去投资另类，Alternatives are not investable。

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Lucky_品职助教 · 2024年07月15日

嗨，爱思考的PZer你好：


同学你好：


你的观点“小规模的机构投资者不适合投资另类资产”是正确的，但这并不是这道题要考察的知识点（机构IPS科目中涉及的更多）。这道题考察的知识点就是在AA中，选择资产类别时的标准，总共有5条，我一一和同学分析下。


Assets within an asset class should be relatively homogeneous，一个资产类别中的资产应该是相对同质的。首先我们要明确，alternative另类投资，它不是一个资产类别，它是除了股票和债券之外的所有投资资产的统称，其中的real estate, commodities, and private equity 才算是资产类别，例如RIETS的投资是符合homogeneous，但是房地产、大宗商品、私募股权，这几类资产之间，是没有homogeneous的。


mutually exclusive是说资产大类之间应该是互斥的。如果资产大类之间有重合，那么会降低资产配置的有效性。例如，我们把资产大类分为美国股票和全球股票，这种分类就不是互斥的，因为美国股票是包含在全球股票范围内的。


diversifying 是说资产大类之间要分散化，或者说相关性越低越好。一般来说，如果两者的相关系数超过0.95，就算是两个资产类别的分散化效果不好。


相关性这一条应该指的是两个不同的资产类别之间，你涨我也涨，所以分散化不够；所以看到关键词“相关性高”说的是diversifying。


而互斥这一条是指分类之间不能有重合，是相同的东西。因此看到资产之间有overlap，相互重叠的部分，说的是mutually exclusive。


回到这道题，RFCF 中原来就有 EUR-denominated government bonds. 现在又加入了EUR fixed income，这里面也包含了EUR-denominated government bonds，所以违反的是mutually exclusive这一条。


欧洲市场发行的股票，和非欧洲市场发行的股票，在宏观经济影响因素层面，例如政治，文化，宗教，地理，经济发展周期等都会有不同，所以 EUR equity 和 Non-EUR equity，就好比我们在课程中经常提到的 US equity 和Non-US equity 一样，组合在一起是能够起到多元化、风险分散化的作用的。但是如果题干中是Global market equity， 那就和 EUR equity 有重合了。

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洁1017 · 2024年07月15日

谢谢老师耐心的解答！

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