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LLP210 · 2025年06月23日

关于这道题的考点

NO.PZ2022122801000009

问题如下:

Fox is in the process of hiring an asset allocation analyst and has just completed interviewing two candidates, Ambrose Kelly and Catherine Trainor, for the position.

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:

Ÿ 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.

Ÿ Trainor: It is important that asset classes should be diversifying. I always look for low pairwise correlations with other asset classes.

In the candidates’ responses to Fox regarding the relevant characteristics of asset classes, the statement that is least accurate is: 2018 Mock AM

选项:

A.

Kelly’s regarding correlations.

B.

Trainor’s.

C.

Kelly’s regarding rebalancing.

解释:

B is correct. Although Trainor is correct that asset classes should be diversifying, low pairwise correlations with other asset classes is not sufficient. An asset class may be highly correlated with some linear combination of the other asset classes even when pairwise correlations are not high. Both of Kelly’s comments are correct: Asset classes should have high within-group correlations but low correlations with other classes. If liquidity and transaction costs are unfavorable for an investment of a size meaningful for an investor, an asset class may not be a suitable investment for that investor.

A is incorrect. Kelly’s first comment is correct about both the within-group and between class correlations.

C is incorrect. Kelly’s second comment is correct. The criteria that he is referring to is that asset classes should have the capacity to absorb a meaningful proportion of an investor’s portfolio. He is correct in saying that if liquidity and transaction costs are unfavorable for an investment of a size meaningful for an investor, an asset class may not be a suitable investment for the investor.

老师,看了一下其他的回复,我理解这道题是想让我们关注一下关于仅使用pairwise correlation 来判断asset class选择是不够的是吧?

因为看到rebalance那里,我以为考点是那个~因为rebalance的资产如果liquidity不够,我们可以设置比较宽的range就可以了,因为同时满足low transaction cost 和high liquidity是比较难的

1 个答案

Lucky_品职助教 · 2025年06月23日

嗨,从没放弃的小努力你好:


题目确实聚焦于,判断资产类别特征描述的准确性,Trainor 提出资产类别应具分散性,需与其他类别低两两相关性,但其说法不全面,因为即便两两相关性低,某资产类别仍可能与其他类别线性组合高度相关,仅靠两两相关性不足以确保分散化效果。

而 Kelly 关于资产类别需组内高相关、组间低相关,以及再平衡时需足够流动性和低交易成本的表述均正确,因流动性和交易成本不利时,资产类别难以适配投资者有意义的投资规模,所以 Trainor 的说法最不准确。

你的疑惑点在于 “流动性不足时可设宽再平衡区间”,但题目中 Kelly 强调的是 “流动性和交易成本是资产类别适用的前提”—— 若资产流动性差、交易成本高,根本不适合纳入战略配置,而非纳入后通过宽区间管理。本题考点是 Trainor 仅以两两低相关性判断分散化不足,与再平衡区间设置无关。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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