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Ruthlessbaby · 2019年12月04日

问一道题：NO.PZ2018110601000038

  1. CFA III
  2. Asset Allocation

问题如下：

Which of the following statements regarding tactical asset allocation and strategic asset allocation is incorrect?

选项：

A.

Strategic asset allocation represents long-term investment policy targets for asset class weights.

B.

In seeking to capture a short-term return opportunity, strategic asset allocation decisions move the investor’s risk away from the targeted risk profile.

C.

Generating alpha through tactical asset allocation decisions is dependent on successful market or factor timing rather than security selection.

解释：

B is correct.

考点：SAA vs TAA

解析：B选项的描述错误，抓短期机会的是Tactical asset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。

Tactical asset allocation 择时，而不是security selection，那什么security selection 是放在资产配置的哪一部分里面呢，有点忘记了

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年12月04日

嗨，爱思考的PZer你好：


security selection 是单独的一个步骤。如果是top-down的方法，先有strategic AA（大方向），再有 Tactical AA，最后再挑个股（security selection）


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粉红豹 · 2019年12月10日

security selection是否是归到了TAA中呢？何老师讲课的时候，讲的是TAA包含两个层次：1）择时；2）选股。

Shimin_CPA税法主讲、CFA教研 · 2019年12月10日

security selection和TAA是分开的。TAA中的选股其实选的是资产大类，没有具体到每一个股票。

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