NO.PZ2018110601000038
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。
alpha from TAA?factor&timing
alpaha 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