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:
Non-EUR developed market
equities
Emerging market equities
Broad EUR fixed income, including government and credit
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:
Assets within an asset class
should be relatively homogeneous
Asset classes should be mutually exclusive
Asset classes should be diversifying
The asset classes as a group should make up a preponderance of world
investable wealth
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.
Asset classes should be mutually exclusive. Having Emerging market equities and Non-EUR developed market equities asset classes category is not mutually exclusive. Because Emerging market equities overlap some of the Non-EUR developed market equities.
Asset classes should be diversifying. The orginal asset class is the fixed-income holdings are in a fund tracking an all-maturity index of EUR- denominated government bond and the new asset class include Broad EUR fixed income, including government and credit. The correlation among those two asset class is too high and asset classes are not diversifying.
