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NO.PZ202206210100000305

问题如下：

Radell’s statement about the portfolio allocation of private equity in Exhibit 3 is most likely:

选项：

A.correct. B.incorrect in regard to a low-cost passive investment vehicle. C.incorrect in regard to modeling risk and return with a private equity index.

解释：

Solution

C is correct. The statement is incorrect in regard to the risk and return aspects of a private equity index. Private equity indexes do not capture the risk and return attributes of private equity accurately. In addition, owing to the illiquid nature of the constituents, these indexes do not accurately measure their true volatility.

A is incorrect. The statement is incorrect in regard to the risk and return aspects of private equity indexes, which capture neither the risk nor the return attributes of private equity accurately.

B is incorrect. The statement is correct in regard to low-cost passive investment vehicles not being available, which would allow investors to closely track the aggregate performance of private equity and other less liquid asset classes.

麻烦解释本题

嗨，爱思考的PZer你好：

1、low-cost passive investment vehicles not being available, which would allow investors to closely track the aggregate performance of private equity and other less liquid asset classes.

流动性差的资产缺少被广泛接受的指数。由于流动性差的资产很难计算准确的市值，如果指数以资产市值为权重，那么这个衡量流动性差的资产的指数就很难计算。即使存在流动性差的资产的指数，基金经理也很难通过被动投资进行追踪，因为流动性差的资产交易成本太高。

这个结论记一下，在记忆时可以以房地产为例进行记忆，很好理解。

2、Modeling with a private equity index captures only the return aspects of private equity without an appropriate representation of risk.是错误的。

private equity index 既不能很好的捕捉真实的PE return，也不能很好的衡量真实的PE risk。因为PE的信息并不要求公开，而披露出来的也只是业绩好的PE，风险和收益都没有可代表性。

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