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Chasechoi · 2022年06月29日

C是啥意思

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000038

问题如下：

Which of the following statements regarding tactical asset allocation and strategic asset allocation is incorrect?

选项：

A.

Strategic asset allocation represents long-term investment policy targets for asset class weights.

B.

In seeking to capture a short-term return opportunity, strategic asset allocation decisions move the investor’s risk away from the targeted risk profile.

C.

Generating alpha through tactical asset allocation decisions is dependent on successful market or factor timing rather than security selection.

解释：

B is correct.

考点：SAA vs TAA

解析：B选项的描述错误，抓短期机会的是Tactical asset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。

C是啥意思

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1 个答案

lynn_品职助教 · 2022年07月01日

嗨，爱思考的PZer你好：


C选项的意思是通过TAA获得α取决于market or factor timing（择时），而不是security selection（选股）。

这里同学有疑问是没有分清处TAA和security selection，TAA中的“选”是选择资产类型，不是具体到每一个股票。

我们假设top-down的方法，正确的顺序是先有strategic AA（大方向），再有 Tactical AA，最后再挑个股（security selection）。

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