NO.PZ202206210100000105
问题如下:
Based on Exhibit 2, compared with the strategic asset allocation, the incremental return added to the fund through tactical asset allocation was closest to:选项:
A.0.39%. B.0.53%. C.0.13%.解释:
Solution
B is correct. By underweighting investment-grade bonds and real estate and overweighting public equity and high-yield bonds, the TAA strategy added 0.53% to the return of the fund, as shown below.
A is incorrect. It compares current weights with the TAA weights.
C is incorrect. It compares the current and target weights.
为什么TAA weights是和policy weights比较,而不是和current weights比较?
现在是current weight,TAA weights-policy weights=(TAA weights-current weights)+(current weights-policy weights)
TAA的incremental return是否包含了当前权重相对于policy的incremental return部分?
谢谢。