NO.PZ2019042401000075
问题如下：
An individual investor wants to invest USD 8 million in exchange-traded funds (ETFs) or private equity funds (PEFs). The investor obtains the previous year’s returns for several ETFs and calculates summary statistics such as volatility and correlation based on these returns. The investor also reviews a database of reported returns and volatilities for several PEFs and then selects two potential investments in each asset class. Using the data from the sources described above, the investor generates the following information for the four potential investments:
The manager evaluates this information while also considering the potential biases and uncertainties in the reported data. Which of the following conclusions is most appropriate for the investor to make?
选项：
A.
The correlation of returns between PEF1 and ETF1 is more accurate than the correlation of returns between ETF1 and ETF2.
B.
Summary statistics computed using reported returns of PEFs can be biased downward, which compromises the reliability of these risk measures.
C.
The number of assets in PEFs are typically higher than the number of assets in ETFs, which makes PEFs much less risky than ETFs over longer time horizons.
D.
The entire USD 8 million should be allocated to PEF2 because it is clearly the superior investment from a return to risk perspective.
解释：
B is correct. Because private equity funds trade infrequently, their risk measures— such as volatilities, correlations, and betas—can be too low when computed using reported returns. See p. 386 in LTR and p.86 in IM
A is incorrect. Correlations regarding PEF1 are not reliable (See explanation for D). The correlation between the two ETFs is more reliable.
C is incorrect. The number of assets alone cannot be a determinant of the risk level of a portfolio. Also, ETFs often hold a very large number of assets, while PEFs can be more concentrated.
D is incorrect. Because the volatility of PEF2 is likely understated, it is not clear that PEF2 truly has the best return to risk profile out of the four investments. Even if it did in fact have the best return/risk profile, it is inappropriate to conclude that the investor should allocate all these funds to that one investment. The investor should consider other factors, such as potential diversification benefits from holding a mixture of the four investments as well as diversification benefits with other investments and asset classes that the investor may own. There is not enough information given to make this conclusion.
题干中描述的是return会被downward估计，但解释说的是risk被downward，驴唇不对马嘴，不应该是return upward，risk downward吗？
