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24#
发表于 2013-4-3 12:47
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Question on the Asset Allocation item set, the last one in the PM…. question 56…. I feel as though comment 1 should be correct…. Correlations do increase when periods of volatility increase, and this means that at the time you need diversification most it fails the investor…. schwesers explanation says:
Statement #1 is incorrect. Correlations between markets do appear to increase when volatility increases in international markets. However, this has been shown to be primarily a statistical aberration related to the calculations of standard deviations and correlations.
I understand that it may be a statistical aberration, however the comment is still correct in that higher volatility increases correlation which hurts someone who is trying to diversify….
anyone else feel that way about this question? typical schweser with these questions |
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