NO.PZ202206210100000505
问题如下：
Windsong Wealth Management Case Scenario
Exhibit 1
Case Study of Jane Lennon
Fox told the candidates to assume that Lennon would use sub-portfolios to achieve her aspirational goals and asked them to identify which of the sub-portfolios is in the best position to tolerate the greatest risk exposure.
In reviewing Lennon’s risk tolerance, Fox pointed out that Lennon’s prior investment experience clearly indicates some behavioral biases that would influence her reaction to any asset allocation proposals.
Fox reminded the candidates that in addition to high-net-worth individuals, the firm’s client base also includes various institutional investors. The candidates made the following statements:
Trainor: A goals-based approach to asset allocation is appropriate for individual investors, but institutions need to focus either on the asset or liability side of the balance sheet, depending on the nature of their business.
Kelly: A typical objective of some institutions is to maximize their Sharpe ratio for an acceptable level of volatility, and they rely on the law of large numbers to assist them in modeling their liabilities. Other institutions behave much like individuals by segmenting general account assets into sub-portfolios associated with specific lines of business with their individual return objectives.
Fox mentioned to the candidates that when dealing with strategic asset allocation, investors often had difficulty understanding the relevant characteristics of asset classes. They responded:
Kelly: I like to stress to clients that asset classes should have high within-group correlations but low correlations with other classes. In addition, because investors need to rebalance to a strategic asset allocation, asset classes need to have both sufficient liquidity and low transaction costs.
Trainor: It is important that asset classes should be diversifying. I always look for low pairwise correlations with other asset classes.
Other general comments were noted about asset classes, but Fox could not recall their sources:
Emerging market equities should not be considered a separate asset class from global equities.
Asset classes differ from strategies in offering a non–skill-based ex ante expected return premium.
Asset classes should be defined in such a way that there is no overlap in sources of risk.
In the general comments about asset classes that Fox noted, the most accurate comment is the one regarding:
选项：
A.the overlap of sources of risk. B.emerging markets. C.the return premiums from asset classes.解释：
SolutionC is correct. Asset classes should have a return premium based on an underlying market risk factor (e.g., beta) and not any underlying skill of the investor. Strategies, on the other hand, involve combinations of asset classes with the objective of earning a return based on investment skill.
C is correct. Asset classes should have a return premium based on an underlying market risk factor (e.g., beta) and not any underlying skill of the investor. Strategies, on the other hand, involve combinations of asset classes with the objective of earning a return based on investment skill.
A is incorrect. There will be overlap of sources of risk when asset classes are defined, e.g., US and non-US equities, or even US small and large cap equities will have some risks in common, but there should be as few common risk factors as possible, and they should have only modest correlations.
B is incorrect. Emerging markets equities should be considered a distinct asset class as they differ from other equities in terms of diversification potential, informational efficiency, corporate governance, taxation, and currency convertibility.
看了助教们的解释，大概理解了文中asset class想表达的是对资产类别选择所获得的是β，所以是non-skilled。那么句子里说的strategies（即基于技术的大概是哪些呢）
