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

jessieeee2000 · 2020年03月10日

问一道题：NO.PZ2018110601000038 [ CFA III ]

  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。

C不对吧 在原版书课后题的视频中讲到 discretionaryTAA是择时而systematicTAA是选股。这又是怎么回事呢？
添加评论
2 个答案

郭静_品职助教 · 2021年04月23日

嗨，努力学习的PZer你好：


大意是对的，但是不是个股，是资产类别~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Shimin_CPA税法主讲、CFA教研 · 2020年03月11日

嗨，努力学习的PZer你好：


首先 asset allocation 和 security selection 是不同的概念。asset allocation 是资产大类上的配置， security selection是针对个股的选择。 课后题讲解的意思是：systematic TAA类似于选股，指的是选择了资产大类，而不是选择了个股。


-------------------------------
加油吧，让我们一起遇见更好的自己！


lman · 2021年04月23日

所以说TAA和benchmark的个股成分是完全一样，就是短期比例不同么？

  • 2

    回答

  • 0

    关注

  • 765

    浏览
相关问题

错误 successful market or factor timing rather thsecurity selection这难道不是SAA考虑的吗？ security selection 这种事TAA考虑的，C是错误的，所以应该选C？

2024-06-03 15:36 1 · 回答

NO.PZ2018110601000038问题如下Whiof the following statements regarngtacticasset allocation anstrategic asset allocation is incorrect? A.Strategic asset allocation representslong-term investment politargets for asset class weights. B.In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. C.Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection.B is correct.考点Svs TAA解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 On successful market是啥意思有效市场？有效市场上是没法活的阿尔法的呀

2023-06-29 08:37 2 · 回答

NO.PZ2018110601000038 In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection. B is correct. 考点Svs T解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 获得alpha 择股和择时不是一样重要吗？

2022-06-30 06:25 1 · 回答

NO.PZ2018110601000038 问题如下 Whiof the following statements regarngtacticasset allocation anstrategic asset allocation is incorrect? A.Strategic asset allocation representslong-term investment politargets for asset class weights. B.In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. C.Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection. B is correct.考点Svs TAA解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 C是啥意思

2022-06-29 18:49 1 · 回答

NO.PZ2018110601000038问题如下Whiof the following statements regarngtacticasset allocation anstrategic asset allocation is incorrect? A.Strategic asset allocation representslong-term investment politargets for asset class weights. B.In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. C.Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection.B is correct.考点Svs TAA解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 alpha from TAA？factor timingalpaha feom SAA？asset class吗？没有这个说法吧？这个是beta吗？security selection能获得啥？具体选股算啥呢。选股获得的超额收益，这是残差吗这道题我可以选对，但含糊，麻烦老师帮忙区分

2022-05-06 15:11 1 · 回答