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西红柿面 · 2025年02月21日

不同资产类别【之间】的Correlation应该很低也就是diversifying这点违反了吗？

  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.

PE的correlation和Equity是有的，所以这条算违反吗

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1 个答案

Lucky_品职助教 · 2025年02月21日

嗨，从没放弃的小努力你好：


同学你好：


很抱歉，我不是很理解你的问题。这道题考察了，选择资产类别的5条标准，我和同学说一下，然后同学可以再进一步提问。


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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