开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

西红柿面 · 2025年04月18日

Discretionary (qualitative)和Systematic(quantitative)的区别

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202301280200000202

问题如下：

Which of the following assumptions best supports the validity of Davidson’s work in asset allocation?

选项：

A.

Asset class returns are mean-reverting

B.

Asset prices largely follow a random walk

C.

Asset class returns exhibit trending behavior

解释：

The underlying assumption of Davidson’s work examining value and momentum factors is that value and momentum phenomena are present at the asset class level and can be used in making tactical asset allocation decisions across asset classes. For this to be an effective tactical asset allocation tool, Davidson must believe that asset classes can trend positively or negatively for some time before changing course (i.e., that they exhibit trending behavior) and that the recent past may contain information relevant to tactical shifts in asset allocation.

Valuation metrics (which Davidson does not consider) are useful if asset class returns are mean-reverting. That is, the comparison of current valuations to historical averages may signal the potential for a reversal or for above-average future returns.

Discretionary (qualitative)认为会出现Mean-reverting；

Systematic(quantitative)的认为会出现Trending对吗？

添加评论
0 个答案

  • 0

    回答

  • 0

    关注

  • 2

    浏览
相关问题

NO.PZ202301280200000202问题如下 Whiof the followingassumptions best supports the vality of vion’s work in asset allocation? A.Asset class returns are mean-revertingAsset prices largely follow a ranm walkC.Asset class returns exhibit trenng behavior The unrlying assumption of vion’s work examining value anmomentum factors is thvalue anmomentum phenomena are present the asset class level ancusein making tacticasset allocation cisions across asset classes. For this to effective tacticasset allocation tool, vion must believe thasset classes ctrenpositively or negatively for some time before changing course (i.e., ththey exhibit trenng behavior) anththe recent past mcontain information relevant to tacticshifts in asset allocation.Valuation metri(whivion es not consir) are useful if asset class returns are mean-reverting. This, the comparison of current valuations to historicaverages msignthe potentifor a reversor for above-average future returns. B肯定不对，市场非有效。quant不是mean-revarting，感觉下factor timing，not alpha skill，然后选对了，但其实不太懂。烦请老师详解，谢谢

2024-12-28 21:34 1 · 回答

NO.PZ202301280200000202 问题如下 Whiof the followingassumptions best supports the vality of vion’s work in asset allocation? A.Asset class returns are mean-reverting Asset prices largely follow a ranm walk C.Asset class returns exhibit trenng behavior The unrlying assumption of vion’s work examining value anmomentum factors is thvalue anmomentum phenomena are present the asset class level ancusein making tacticasset allocation cisions across asset classes. For this to effective tacticasset allocation tool, vion must believe thasset classes ctrenpositively or negatively for some time before changing course (i.e., ththey exhibit trenng behavior) anththe recent past mcontain information relevant to tacticshifts in asset allocation.Valuation metri(whivion es not consir) are useful if asset class returns are mean-reverting. This, the comparison of current valuations to historicaverages msignthe potentifor a reversor for above-average future returns. 为什么B不对

2024-09-26 09:56 1 · 回答