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mino酱是个小破货 · 2024年12月28日

within asset class要high correlated？why？谢谢老师

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

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.

within asset class要high correlated？why？这个意思是homogenous吗？我知道不同asset class之间要diversifying，也就是low correlated，低于95%才可以，因为现实中资产之间可能受相同risk factor印象，correlation的数值不会太低，低于95%就好，谢谢老师

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1 个答案

Lucky_品职助教 · 2024年12月30日

嗨，从没放弃的小努力你好：


同学你好：


是的，within asset class，指的是homogeneous，所以一个资产类别中的资产，需要彼此之间high correlated。我把选择资产类别的5条标准，再和同学说一下。


第一个，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。举个例子：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，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。

 

第二个，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。

 

第三个，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 diversifying。

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

 

第四点，强调的是在整个Portfolio中，所有资产类别的完整性，也就是在Portfolio中应该尽可能涵盖大部分全世界可以投资的资产类别，这样才能达到投资组和的多元化，尽可能的分散风险。

 

第五点，强调的是，选来做投资的资产类别要考虑到该资产的可投资性。可投资性具体表现在流动性和交易成本两个方面。我们在为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。比如，投资一项资产所需要的资金量非常庞大，对于个人投资者来说，这会限制他总资产的流动性，并且资金量大，往往伴随着交易成本的增加，所以对于个人而言，这一类资产就不具有可投资性。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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