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:
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.
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.
Trainor’s.
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