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CFA考男 · 2020年10月11日

问一道题:NO.PZ2018110601000004

问题如下:

Richard, a junior financial analyst, lists the following asset class specifications.

Equity: US equities and non-US equities

Debt: US investment-grade corporate bonds and real estate

Derivatives: mainly the small-cap domestic equities

As you are Richard’s supervisor, you notice the correlation on asset class returns on equity and derivatives is 0.95, while the asset class returns on debt have a very low correlation with equity and derivative returns.

The asset class specifications for equity and derivatives are incorrect because:

选项:

A.

asset classes should be diversifying

B.

asset classes should be mutually exclusive

C.

asset within an asset class should be relatively homogeneous.

解释:

A is correct.

考点:asset class的分类原则

解析:为了控制风险,资产类型之间的相关性不应当过高。相关性大了,分散化效果就会变差。题干中说equity 和derivatives之间的相关性系数为0.95,所以违反了diversifying这个分类原则。

不是要高于0.95才算吗?

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年10月12日

嗨,努力学习的PZer你好:


0.95是一个临界点。如果考试中遇到了这样的困惑,建议采用排除法。


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努力的时光都是限量版,加油!