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随心所欲wy · 2019年11月14日

问一道题:NO.PZ201805280100000102

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问题如下:

2. Which of Capara’s statements regarding tactical asset allocation is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

A is correct.

The Sharpe ratio is suitable for measuring the success of TAA relative to SAA. Specifically, the success of TAA decisions can be evaluated by comparing the Sharpe ratio realized under the TAA with the Sharpe ratio that would have been realized under the SAA.

请问,statement 2 &3 哪里不对?

5 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2019年11月14日

嗨,从没放弃的小努力你好:


Statement 2说的是systematic TAA。

Statement 3, TAA可以获得higher expected risk-adjusted return,但是不能突破upper and lower limits.


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努力的时光都是限量版,加油!


worldcup · 2021年11月09日

TAA 不能偏离upper and lower limits么?

worldcup · 2021年11月09日

TAA 不能偏离upper and lower limits么?

worldcup · 2021年11月09日

TAA 不能偏离upper and lower limits么?

worldcup · 2021年11月09日

TAA 不能偏离upper and lower limits么?

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2022-05-23 20:56 1 · 回答

NO.PZ201805280100000102 我理解SHARP RATIO是衡量TAA和BENMARK 之间的差距,怎么理解这里SAA就是指BENMARK呢。谢谢

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NO.PZ201805280100000102 咋看出来statement2说的是systematic TAA啊

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