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葫芦娃吃生菜 · 2025年03月11日

这道题怎么理解,解释一下

NO.PZ2019042401000075

问题如下:

An individual investor wants to invest USD 8 million in exchange-traded funds (ETFs) or private equity funds (PEFs). The investor obtains the previous year’s returns for several ETFs and calculates summary statistics such as volatility and correlation based on these returns. The investor also reviews a database of reported returns and volatilities for several PEFs and then selects two potential investments in each asset class. Using the data from the sources described above, the investor generates the following information for the four potential investments:


The manager evaluates this information while also considering the potential biases and uncertainties in the reported data. Which of the following conclusions is most appropriate for the investor to make?

选项:

A.

The correlation of returns between PEF1 and ETF1 is more accurate than the correlation of returns between ETF1 and ETF2.

B.

Summary statistics computed using reported returns of PEFs can be biased downward, which compromises the reliability of these risk measures.

C.

The number of assets in PEFs are typically higher than the number of assets in ETFs, which makes PEFs much less risky than ETFs over longer time horizons.

D.

The entire USD 8 million should be allocated to PEF2 because it is clearly the superior investment from a return to risk perspective.

解释:

B is correct. Because private equity funds trade infrequently, their risk measures— such as volatilities, correlations, and betas—can be too low when computed using reported returns. See p. 386 in LTR and p.86 in IM

A is incorrect. Correlations regarding PEF1 are not reliable (See explanation for D). The correlation between the two ETFs is more reliable.

C is incorrect. The number of assets alone cannot be a determinant of the risk level of a portfolio. Also, ETFs often hold a very large number of assets, while PEFs can be more concentrated.

D is incorrect. Because the volatility of PEF2 is likely understated, it is not clear that PEF2 truly has the best return to risk profile out of the four investments. Even if it did in fact have the best return/risk profile, it is inappropriate to conclude that the investor should allocate all these funds to that one investment. The investor should consider other factors, such as potential diversification benefits from holding a mixture of the four investments as well as diversification benefits with other investments and asset classes that the investor may own. There is not enough information given to make this conclusion.

这道题考点是什么,怎么分析的,请解释详细一些

1 个答案

李坏_品职助教 · 2025年03月11日

嗨,爱思考的PZer你好:


题目给出ETF基金(这个是在交易所交易的指数基金),以及私募基金(private equity,不可公开交易,是定向发行的产品)的数据,问你哪个选项叙述正确。

A选项说私募基金1和私募基金2的收益率相关性数据,比ETF之间的相关性更精确可靠。这个说法错误。私募基金的数据是不在交易所公布的,而且私募的数据是有选择性的对外发布,而ETF的所有数据在交易所随时可以查阅,所以应该是ETF的相关性更精确才对。


B选项说利用私募基金对外公布的数据算出来的统计指标,会有低估的情况,从而影响其可靠性。这个是对的。私募基金的交易频率较低,从极为有限的少量数据算出来的波动率、相关性大概率是偏低的。


C选项说私募基金持有的资产数量大于ETF的资产数量,所以私募基金风险低。这个说法错误。首先,资产数量压根就不能与风险高低画等号,其次,私募的持仓往往更集中,从而导致风险更大才对。


D选项说从收益与风险的关系来看,私募基金比ETF更优秀,所以应该把所有钱都投资到私募基金里。这个说法错误。前面B选项说过,私募基金的样本数据是极其有限的,本身可靠性就差,风险会被低估,所以无法从这个公布的结果就得出结论说私募基金更优秀。

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