NO.PZ2022062601000020
问题如下：
John, a high-net-worth investor, wants to increase returns and therefore wants to add alternative investments to his fund. His investment advisor Bourne provides some advice, "If you add alternative assets to the fund as planned, I suggest using a risk-based approach for asset selection. Compared to traditional methods, a risk-based approach has many benefits.
These benefits include the following:
- Benefit 1: It doesn’t group assets together based on a few shared characteristics.
- Benefit 2: It accounts for the risk level of alternative assets as well as publicly traded assets.
- Benefit 3: It identifies a common set of risk factors and estimates the sensitivity of each asset analyzed to these factors, which are stable over time.
Which of the following is Bourne most likely to be correct when recommending risk-based asset selection methods?
选项：
A.Benefit 1
Benefit 2
Benefit 3
解释：
A is correct.Traditional approaches to defining investment opportunity sets tends to encompass a wide range of asset categories, which can include assets with very different levels of risk. For example, fixed income can include government bonds with little or no default risk, as well as high-yield bonds with high default risk. The risk-based approach aims to measure the sensitivity of each asset to a specific set of risk factors and will treat government bonds and high-yield bonds in a very different way, as they differ in sensitivity to default risk or credit spreads and to liquidity, inflation, and potential other risk factors.
B is not correct. Risk-based approaches typically perform well in accounting for the overall risk of publicly traded assets, with R2values of 0.8–1.0. They do not perform well in accounting for the overall risk of alternative assets, with R2values ranging from 0.3 to 0.7. This unexplainable level of risk is due to the use of appraisals for valuation, greater reliance on manager choices, and other idiosyncratic risks.
C is incorrect. Indeed, the risk-based approach identified a common set of risk factors and estimated the sensitivity of each asset to these factors. However, risk factors are sensitive to the historical period examined by the assessment process; Therefore, over time, the sensitivity of risk factors is not stable.
知识点考察：Risk-Based Approaches to Asset Classification
A 是正确的。定义investment opportunity set的传统方法倾向于广泛的资产类别，其中可能包含风险水平非常不同的资产。例如，固定收益可以包含违约风险很小或没有违约风险的政府债券和违约风险非常高的高收益债券。A risk-based approach旨在衡量每项资产对一组特定风险因素的敏感性，并且会以不同的方式对待政府债券和高收益债券，因为它们对违约风险或信用利差以及对流动性、通货膨胀和潜在的其他风险因素的敏感性不同。
B 不正确。A risk-based approach通常可以很好地解释公开交易资产的整体风险，R2 值为 0.8-1.0。他们在考虑另类资产的整体风险方面做得不太好，R2 值为 0.3-0.7。这种无法解释的风险水平是由于使用评估进行估值、对经理选择的更依赖以及其他特殊风险。
C 不正确。确实，A risk-based approach确定了一组常见的风险因素，并估计了每项资产对这些因素的敏感性。然而，风险因素对估计程序所检查的历史时期很敏感；因此，风险因素的敏感性随着时间的推移并不稳定。
traditional和risk-based都对alternative（出去public equities）的分析不太行，因为stale pricing的问题对吧？
