aa分类原则

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。