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

莼菜 · 2020年05月30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。

即使B改成TAA也不对吧，TAA偏离资产配置比例，但并不可以改变risk profile吧？
添加评论
1 个答案

纠纠_品职答疑助手 · 2020年05月31日

嗨，爱思考的PZer你好：


B想表述的意思是偏离原先的设定的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 。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


  • 1

    回答

  • 1

    关注

  • 767

    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