问一道题：NO.PZ2018110601000038

问题如下：

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

选项：

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

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

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。

请问应该如何理解B选项的后半句‘move the investors' risk away from the targeted risk profile’呢？

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已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2020年02月24日

嗨，努力学习的PZer你好：

Strategic asset allocation 是基于客户的IPS以及长期资本市场的预期形成的资产配置方案，所以它可以看成是基金经理实际投资时的benchmark。实际投资的风险偏离benchmark，所以承担的是active risk，那么就需要获得相应的active return，所以抓短期投资机会，抓的就是偏离benchmark而获得的超额收益，这种资产配置的方法叫做 Tactical asset allocation 。

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问一道题：NO.PZ2018110601000038

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