NO.PZ2022062601000012
问题如下：
Fund A's holdings are approximately 50% publicly traded assets and 50% investment grade fixed income securities, with investors hoping to increase returns by approximately 5% within two years. Investment advisor John suggests replacing a portion of investment grade fixed income securities with a 25% private equity allocation.
When replacing fixed income with private equity, other risk factors must also be considered. John made three statements:
Which of John’s statements is least likely correct?
选项：
A.Statement 1
Statement 2
Statement 3
解释：
C is correct. Private equity returns are based on infrequent reporting and typically use appraisal values, which results in lower return correlations with other asset classes (including public equity) than would be evident from actual transaction prices. In comparison, investment-grade fixed-income returns are based on transactions prices, resulting in a more accurate return series and more accurate return correlation estimates.
A is incorrect. Returns from private equity are based on infrequent reporting and typically use appraisal values, resulting in a smoothing of returns and less accurate return volatilities. In comparison, investment-grade fixed-income returns are based on transaction prices, resulting in more accurate return volatilities.
B is not correct. The expected return on private equity is higher than investment grade fixed income. Therefore, considering the desire to increase the long-term return, investment-grade fixed-income portfolios or portfolios with higher distribution of investment grade fixed income have a greater risk of not achieving this goal than private equity portfolios or portfolios with higher distribution of private equity.
知识点考察：role of different alternative investments
C是正确的。私募股权回报基于不频繁的报告，通常使用评估值，这导致与其他资产类别（包括公共股本）的回报相关性低于实际交易价格。相比之下，投资级固定收益回报基于交易价格，从而产生更准确的回报序列和更准确的收益相关性估计。
A不正确。私募股权的回报基于不频繁的报告，通常使用评估值，导致回报平滑，回报波动不太准确。相比之下，投资级固定收益回报基于交易价格，从而产生更准确的回报波动。
B不正确。私募股权的预期回报率高于投资级固定收益。因此，考虑到增加长期回报的愿望，投资级固定收益投资组合或对投资级固定收入分配较高的投资组合比私募股权投资组合或私募股权分配较高的组合有更大的风险达不到这一目标。
题干三个statement英语看起来有点绕，先翻译statement
陈述 1 投资级固定收益报告的回报波动可能比私募股权更准确。
陈述 2 投资级固定收益未能达到长期投资目标的风险高于私募股权。
陈述 3 报告的投资级固定收益与公共股权的相关性可能不如所报告的私募股权与公共股权的相关性准确。
通过上题可知道投资级固定收益的波动低于private equity。所以陈述1是对的。
投资级的固定收益的相对收益低，而长期来看主要还是要达到收益目标，短期的波动会通过时间的跨度来逐步恢复暂时的因为波动的亏损。所以陈述2也是对的。
而private equity由于并非上市公司，没有要求去定期发布财报，这对于投资者对private equity的估值并不容易，而且另类投资整体上透明性都很低。所以由于基于不频繁的报告，通常使用评估值，这导致与其他资产类别（包括上市股票）的回报相关性低于实际交易价格。所以陈述3是错的。
Statement 2: 没有达到长期目标的投资级债券的风险要比PE高，这个无论从哪个角度都应该是错的吧？投资级债券的风险怎么会比PE高呢？
Statement 3: 报告里计算的投资级债券与公开交易的股票的相关性 不如 报告里计算的PE和公开交易的股票的相关性 准确；这个我能理解，因为债券和股票的交易更加频繁，计算出来的相关性肯定要比PE和其他资产计算出来的相关性要准确一点，所以Statement 3是错误的。这里我的理解正确嘛？