對於C選項，如何得出結論illiquid asset的fund風險收益與直接投資此類資產不同呢？

问题如下：

Another client, Lars Velky, represents Velky Partners (VP), a large institutional investor with $500 million in investable assets. Velky is interested in adding less liquid asset classes, such as direct real estate, infrastructure, and private equity, to VP’s portfolio.

In their discussion of the asset classes that Velky is interested in adding to the VP portfolio, Monteo should tell Velky that:

选项：

these asset classes can be readily diversified to eliminate idiosyncratic risk.

indexes are available for these asset classes that do an outstanding job of representing the performance characteristics of the asset classes.

the risk and return characteristics associated with actual investment vehicles for these asset classes are typically significantly different from the characteristics of the asset classes themselves.

解释：

C is correct.

Less liquid asset classes—such as direct real estate, infrastructure, and private equity—represent unique challenges when applying many of the common asset allocation techniques. Common illiquid asset classes cannot be readily diversified to eliminate idiosyncratic risk, so representing overall asset class performance is problematic. Furthermore, there are far fewer indexes that attempt to represent aggregate performance for these less liquid asset classes than indexes of traditional highly liquid asset classes. Finally, the risk and return characteristics associated with actual investment vehicles—such as direct real estate funds, infrastructure funds, and private equity funds—are typically significantly different from the characteristics of the asset classes themselves.

考点：Less liquid asset class

解析：考查的是Less liquid asset class下的结论。

A选项说反了，流动性差的资产类型不能用来消除idiosyncratic risk（即非系统性风险），因为投资PE、房地产、infrastructure获得的超额收益来自于承担了额外的非系统性风险。所以非系统性风险不能通过投资 illiquid asset来消除。

B选项错误，这些流动性差的资产往往没有index，即使构建了index也不能很好的代表这个资产类型的业绩。

C选项正确， 由于illiquid asset流动性差，直接投资的可行性小，所以往往通过fund间接投资，于是投资这些fund和直接投资illiquid asset所获得的收益和风险差异较大。