NO.PZ2021060201000015
问题如下：
Current portfolio of an University Endowment Fund (the fund) is invested primarily in public equities, with the rest is invested in fixed income. The fund’s investment objective is to support an annual expenditure rate of 6% and maintain the purchasing power of the asset base within a 10-year time horizon. The fund also hopes to invest in assets that provide the highest degree of diversification to withstand the risks of its dominant stocks. The fund's portfolio manager will consider the potential alternative investment options that best fit the fund's diversification strategy.
Which asset class would best satisfy the Fund’s diversification strategy?
选项：
A.Private equity
Private real estate
Absolute return hedge fund
解释：
C is correct.
C是正确的。 与私募股权或私人房地产相比，An absolute return hedge fund在分散基金主要公共股权风险方面具有更大的潜力。 An absolute return hedge fund的股票贝塔系数通常低于私募股权或Private real estate的贝塔系数。 此外，An absolute return hedge fund在分散股票方面往往表现出很高的潜力，而Long/Short Equity对冲基金则表现出适度的潜力来发挥这一作用。
A 是不正确的，因为尽管私募股权相对于公共股权提供适度的多元化，但An absolute return hedge fund有更大的潜力这样做。 私募股权的主要优势是资本增长。
B 是不正确的，因为Private real estate仅提供相对于股票的适度多元化，而An absolute return hedge fund有更大的潜力这样做。 Private real estate的主要优势是创收。
由于Private real estate和二级市场上的上市公司一样会受到一些宏观因素的影响（例如利率），所以只是部分的分散化的效果，但是分散化更好的主要还是Absolute return hedge fund，其β对冲掉了，基本只剩α的影响了，所以不受宏观因素的影响，使得其分散化更好。
Hedge funds and private equities have a correlation co-efficient with equities over +0.8, and this indicates a fairly strong positive relationship between public equities and these alternative investments.原版书的原话，答案没有说服力
