为什么不用A选项的算法

* 问题详情，请查看题干

NO.PZ202206210100000105

问题如下：

Based on Exhibit 2, compared with the strategic asset allocation, the incremental return added to the fund through tactical asset allocation was closest to:

选项：

A.0.39%. B.0.53%. C.0.13%.

解释：

Solution

B is correct. By underweighting investment-grade bonds and real estate and overweighting public equity and high-yield bonds, the TAA strategy added 0.53% to the return of the fund, as shown below.

A is incorrect. It compares current weights with the TAA weights.

C is incorrect. It compares the current and target weights.

读题过程里，感觉current weight是满足SAA的，所以感觉应该是用TAA weight和current weight相减，但并不是，用的是SAA weight和current相减。请老师解读一下。

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Lucky_品职助教 · 2024年04月17日

嗨，努力学习的PZer你好：

同学你好：

本题这一小问的题干是：与战略资产配置（SAA）相比，战术资产配置（TAA）为基金增加的增量收益最接近于。SAA所采用的配置比例就是Policy weights, 所以这个问只有比较投资组合，分别在Policy weights和TAA weight 下的收益增量就可以了。

任何的TAA调整，都是需要在Policy weights ± 5%的幅度范围内进行调整，这其中，current weight 当前权重，是指在TAA信号发生之前有效的权重。而本题要求的是对比，在TAA信号发生之后进行的权重调整，相对于Policy weights, 能够产生怎样的incremental return。

所以本问应该采用B选项的计算方式。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202206210100000105 问题如下 Baseon Exhibit 2, comparewith the strategic asset allocation, the incrementreturn aeto the funthrough tacticasset allocation wclosest to: A.0.39%. B.0.53%. C.0.13%. SolutionB is correct. unrweighting investment-gra bon anreestate anoverweighting public equity anhigh-yielbon, the Tstrategy ae0.53% to the return of the fun shown below.A is incorrect. It compares current weights with the Tweights. C is incorrect. It compares the current antarget weights. 为什么Tweights是和poliweights比较，而不是和current weights比较？现在是current weight，Tweights-poliweights=（Tweights-current weights）+（current weights-poliweights）TAA的incrementreturn是否包含了当前权重相对于policy的incrementreturn部分？谢谢。

2023-01-28 21:29 2 · 回答

为什么不用A选项的算法

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