lynn_品职助教 · 2022年11月28日
嗨，爱思考的PZer你好：
这句话的考点是discretionary TAA与systematic TAA的对比。有基础班讲义的话看一下244页。：
Discretionary TAA is predicated on the existence of manager skill in predicting and timing short-term market moves away from the expected outcome for each asset class that is embedded in the SAA policy portfolio.
Using signals, systematic TAA attempts to capture asset class level return anomalies that have been shown to have some predictability and persistence
所以 statement 2 描述的是 systematic TAA，而不是discretionary TAA
----------------------------------------------努力的时光都是限量版，加油！