TAA & SAA

嗨，努力学习的PZer你好：

想问一下这个statement 2 是不是错在了 "that have been shown to have some predictability and persistence?"

可以附一下讲义讲SAA TAA 的区分吗 谢谢

同学说的是对的

Statement 2描述的是systematic TAA，见基础班讲义P245： systematic TAA attempts to capture asset class level return anomalies that have been shown to have some predictability and persistence。（强调信号、市场异常）

TAA只关注asset only。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. （强调基金经理的能力）

衡量资产表现的指标有很多种，Sharpe ratio、information ratio、统计中的t statistic都可以。基础班讲义243-evaluation

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努力的时光都是限量版，加油！