Discretionary TAA 和 systematic TAA 的区别

NO.PZ201805280100000102 问题如下 RebecMayer is asset management consultant for institutions anhigh-net-worth invials. Mayer meets with SebastiCaparthe newly appointeInvestment Committee chairmfor the Kinkaren University Enwment (KUE), a very large tax-exempt funCapara anMayer review KUE’s current anstrategic asset allocations, whiare presentein Exhibit 1. Capara informs Mayer thover the last few years, Kinkaren University hfinanceits operations primarily from tuition, with minimneeof financisupport from KUE. Enrollment the University hbeen rising in recent years, anthe Boarof Trustees expects enrollment growth to continue for the next five years. Consequently, the boarexpects very most enwment support to neering thtime. These expectations lethe Investment Committee to approve a crease in the enwment’s annuspenng rate starting in the next fiscyear.Exhibit 1. Kinkaren University Enwment—Strategic Asset Allocation Policyaitionsourof alphMayer proposes tactically austing KUE’s asset-class weights to profit from short-term return opportunities. To confirm his unrstanng of tacticasset allocation (TAA), Capara tells Mayer the following:Statement 1: The Sharpe ratio is suitable for measuring the success of Trelative to SAA.Statement 2: scretionary Tattempts to capture asset-class-level return anomalies thhave been shown to have some prectability anpersistence.Statement 3: Tallows a manager to viate from the IPS asset-class upper anlower limits if the shift is expecteto prohigher expecterisk-austereturns.Capara asks Mayer to recommena Tstrategy baseon excess return forecasts for the asset classes in KUE’s portfolio, shown in Exhibit 2.Exhibit 2. Short-Term Excess Return ForecastFollowing her consultation with CaparMayer meets with Roger Koval, a member of a wealthy family. Although Koval’s baseline nee are securea family trust, Kovha personportfolio to funhis lifestyle goals.In Koval’s country, interest income is taxeprogressively higher income trates. vinincome anlong-term capitgains are taxelower trates relative to interest anearneincome. In taxable accounts, realizecapitlosses cuseto offset current or future realizecapitgains. Kovis in a high tbracket, anhis taxable account currently hol, in equweights, high-yielbon, investment-gra bon, anmestic equities focuseon long-term capitgains.Kovasks Mayer about aing new asset classes to the taxable portfolio. Mayer suggests emerging markets equity given its positive short-term excess return forecast. However, Kovtells Mayer he is not interestein aing emerging markets equity to the account because he is convinceit is too risky. Kovjustifies this belief referring to significant losses the family trust sufferering the recent economic crisis.Mayer also suggests using two mean–varianportfolio optimization scenarios for the taxable account to evaluate potentiasset allocations. Mayer recommen running two optimizations: one on a pre-tbasis ananother on after-tbasis.2. Whiof Capara’s statements regarng tacticasset allocation is correct? A.Statement 1 B.Statement 2 C.Statement 3 A is correct. The Sharpe ratio is suitable for measuring the success of Trelative to SASpecifically, the success of Tcisions cevaluatecomparing the Sharpe ratio realizeunr the Twith the Sharpe ratio thwoulhave been realizeunr the SAA.考点tacticasset allocation解析Statement 1考查的是结论，Sharpe ratio可以用来评估TAA的表现是否优于SAA，正确。Statement 2描述的是systematic TAA而不是scretionary T，错误。Statement 3错在viate from这个词，意思是偏离，原文的意思是T可以偏离出IPS的上下限，说反了，T可以偏离但不能超过IPS限定的上下限。因此正确 错在哪里？不是可以short time viates的嘛

NO.PZ201805280100000102问题如下2. Whiof Capara’s statements regarng tacticasset allocation is correct?A.Statement 1B.Statement 2C.Statement 3 A is correct. The Sharpe ratio is suitable for measuring the success of Trelative to SASpecifically, the success of Tcisions cevaluatecomparing the Sharpe ratio realizeunr the Twith the Sharpe ratio thwoulhave been realizeunr the SAA.考点tacticasset allocation解析Statement 1考查的是结论，Sharpe ratio可以用来评估TAA的表现是否优于SAA，正确。Statement 2描述的是systematic TAA而不是scretionary T，错误。Statement 3错在viate from这个词，意思是偏离，原文的意思是T可以偏离出IPS的上下限，说反了，T可以偏离但不能超过IPS限定的上下限。因此正确请问A在讲义哪里呢

NO.PZ201805280100000102 我理解SHARP RATIO是衡量TAA和BENMARK 之间的差距，怎么理解这里SAA就是指BENMARK呢。谢谢

NO.PZ201805280100000102 咋看出来statement2说的是systematic TAA啊