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莫等闲 · 2020年01月08日

问一道题：NO.PZ2015121810000070 [ CFA II ]

  1. CFA II
  2. Portfolio

B选项和C选项能否帮忙具体解释一下？问题如下图：

选项：

A.

B.

C.

解释：

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已采纳答案

星星_品职助教 · 2020年01月09日

同学你好，

C选项是一个原版书上的结论。意思是做TAA时可以选用ETF作为工具，这个时候最好选择交易量最大的ETF。因为TAA是短期对大类资产做一个偏离，所以要选择流动性好的。

B选项说对于futures来说，面临的风险比ETF面临的更分散，并没有这个结论。

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