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Liuliu · 2023年05月18日

Tactical

  1. CFA I
  2. Portfolio

NO.PZ2018070201000133

问题如下：

What is the main purpose of tactical asset allocation strategy:

选项：

A.

trying to take the advantage of the arbitrage possibility among the asset classes.

B.

deviating from the policy portfolio deliberately.

C.

selecting asset classes with the desired exposures to systematic risk of the portfolio.

解释：

B is correct.

An investor uses tactical asset allocation to make actual asset allocation deviating from the strategic asset allocation of the policy portfolio which is described in the IPS. Tactical asset allocation can be used to take advantage of temporary dislocations from the market conditions and assumptions which drove the policy portfolio decision.

想问一下 短期套利不也是tactical 的一种吗 1.时间短 套利机会转瞬即逝 2.短暂偏离IPS

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1 个答案

Kiko_品职助教 · 2023年05月22日

嗨，从没放弃的小努力你好：


TAA的定义就是短期看好某一个资产大类的话，可以偏离之前Strategic asset allocation（SAA）定下来的资产大类的分配方式。

举例来说，SAA规定投资方向是股票50%，债券50%，但如果短期很确定牛市来了，股票大概率会涨，就没必要死守着50%不放，可以在IPS规定的范围内多投一些股票。等牛市过去再回复原状。

所以TAA的主要目的其实就是B，直接选就行。A,C都是凑选项的。TAA的目的不是去抓套利机会的，也不是处理系统性风险的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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