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ww · 2024年07月24日

为什么emerging equities跟EUR-denominated stock不属于mutually exclusive？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000012

问题如下：

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

To better diversify the policy asset allocation globally, Loucks specifically recommends that Roggen consider adding the following four asset classes:

Ÿ Non-EUR developed market equities

Ÿ Emerging market equities

Ÿ Broad EUR fixed income, including government and credit

Ÿ Alternative investments, including real estate, commodities, and private equity

Discuss, with two reasons, why the set of six asset classes (current portfolio plus Loucks’ recommendations) for the RFCF policy asset allocation are not appropriately specified.

选项：

解释：

There are five criteria that should be met for a set of asset classes to be appropriately specified:

Ÿ Assets within an asset class should 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 world investable wealth

Ÿ The asset class should have the capacity to absorb a significant fraction of the investor’s portfolio without seriously affecting the portfolio’s liquidity

Loucks’ set of six asset classes is not appropriately specified because:

1) Adding broad EUR fixed income exposure violates the second criterion – that asset classes should be mutually exclusive. RFCF already has exposure to EUR-denominated government bonds. The broad EUR fixed income exposure contains both EUR-denominated government bonds and EUR-denominated credit bonds. This addition creates overlap between the existing asset class and the new asset class.

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

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

回答的时候答了一个点，EUR-denominated stocks 包含了emerging equities，所以增加emerging market equities违反了mutally exclusive，这个算对吗？

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1 个答案

Lucky_品职助教 · 2024年07月25日

嗨，努力学习的PZer你好：


同学你好：


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。（针对答案第三条）


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。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。（针对答案第一条）


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。

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。


还有就是，这道题里没有说过，emerging equities跟EUR-denominated stock不属于mutually exclusive, 它们之间并没有overlap，所以是符合mutually exclusive的。



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