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旋风小铠甲 · 2022年03月19日

老师这道题可否给个总结过的英文答案。

  1. CFA III
  2. Alternative

NO.PZ2021060201000020

问题如下：

Zhou is a portfolio manager for an Investment management company，Johnson is an analyst at the company and reports to zhou.Zhou has a $ 20 million portfolio，most allocate to public equity. Zhou tell Johnson that he want to create a multi-asset portfolio by selling part of his equity holdings and investing the proceeds in another asset class. And zhou states that asset allocation should achieve the two goals：risk diversification and capital growth.Johnson suggests the following three asset classes:

· Public real estate

· Private real assets (timber)

· Equity long/short hedge funds

Determine which asset class is most likely to meet Pua’s investment objective. Justify your response.

选项：

解释：

Johnson should recommend Private real assets (timber) as most suitable for zhou.

• 木材与公共股票的相关性较低，可以发挥分散风险的功能。

• 木材提供高长期回报，并能发挥资本增值的功能作用。

私人实物资产（木材）是最有可能实现 zhou 目标的资产类别。私人实物资产，例如木材，往往与公开股票的相关性较低，因此在 zhou 当前的全股票投资组合中，很有可能发挥分散风险的功能作用。此外，木材在实现投资组合中资本增长的功能作用方面具有很高的潜力，因为增长是由树木的潜在生物生长以及潜在土地价值的升值提供的。

与木材相比，作为资产类别的公共房地产可能提供较少的资本增长机会和较低的多元化收益。毕竟作为public，和二级市场的股票就有一些相似性，都是public，公共住房有点类似咱们的公寓，因为使用的性质导致升值潜力大不同，比住宅用房地产升值潜力低得多。原因很多很复杂，比如持有成本贵等因素。此外，作为资产类别的Equity long/short hedge funds将在 Pua 的全股票投资组合中提供适度的风险分散，但不具有显着的资本增长潜力。因为Equity long/short hedge funds的β很小，虽然volatility小了，收益也下降了。

老师这道题可否给个总结过的英文答案。

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2 个答案

伯恩_品职助教 · 2024年08月15日

嗨，爱思考的PZer你好：


通常会认为private real estate （不局限于timber）是有high capital growth的吗？——是Real Assets还是real estate ？

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

伯恩_品职助教 · 2022年03月20日

嗨，爱思考的PZer你好：


• Timber exhibits a low correlation with public equities and can fulfill the functional role of risk diversification.

• Timber provides high long-term returns and can fulfill the functional role of capital growth.

回答上面的两个就够了

Private real assets (timber) is the asset class most likely to meet zhou ’s objective. Private real assets, such as timber, tend to exhibit a low correlation with public equities and therefore have a high potential to fulfill the functional role of risk diversification in zhou ’s current all-equity portfolio. In addition, timber has a high potential to fulfill the functional role of capital growth in the portfolio since growth is provided by the underlying biological growth of the tree as well as through appreciation in the underlying land value. Compared with timber, public real estate as an asset class would likely offer less opportunity for capital growth and lower diversification benefits. Also, equity long/short hedge funds as an asset class would provide a moderate degree of risk diversification in zhou ’s all-equity portfolio but do not carry significant capital growth potential.

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加油吧，让我们一起遇见更好的自己！

Mahoosive · 2024年08月15日

通常会认为private real estate （不局限于timber）是有high capital growth的吗？

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