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Wuyyyyyy · 2023年06月28日

A选项

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NO.PZ201805280100000207

问题如下:

The proposal for short- term adjustments to the KCPF asset allocation strategy is known as:

选项:

A.

de- risking.

B.

systematic tactical asset allocation.

C.

discretionary tactical asset allocation.

解释:

B is correct.

Using rules- based, quantitative signals, systematic tactical asset allocation (TAA) attempts to capture asset- class- level return anomalies that have been shown to have some predictability and persistence. Trend signals are widely used in systematic TAA. A moving- average crossover is a trend signal that indicates an upward (downward) trend when the moving average of the shorter time frame, 50 days, is above (below) the moving average of the longer time frame, 200 days.

考点:systematic TAA vs discretionary TAA

解析:正文说 “当 S&P 500的50日移动平均线在200日移动平均线之上,增加equity比重5%;当S&P 500的50日移动平均线在200日移动平均线之下,减少equity比重5%。” 这是rule-based的方法,根据trend signal短期调整资产配置以获得超额回报,因此对应的是systematic tactical asset allocation。

A在讲义中 有对应的内容吗

1 个答案

lynn_品职助教 · 2023年06月29日

嗨,努力学习的PZer你好:


没有,A选项是一个凑数的选项。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ201805280100000207 问题如下 The proposfor short- term austments to the KCPF asset allocation strategy is known as: A.- risking. B.systematic tacticasset allocation. C.scretionary tacticasset allocation. B is correct. Using rules- base quantitative signals, systematic tacticasset allocation (TAattempts to capture asset- class- level return anomalies thhave been shown to have some prectability anpersistence. Trensignals are wily usein systematic TAA moving- average crossover is a trensignthincates upwar(wnwar trenwhen the moving average of the shorter time frame, 50 ys, is above (below) the moving average of the longer time frame, 200 ys.考点systematic Tvs scretionary TAA解析正文说 “当 S P 500的50日移动平均线在200日移动平均线之上,增加equity比重5%;当S P 500的50日移动平均线在200日移动平均线之下,减少equity比重5%。” 这是rule-base方法,根据trensignal短期调整资产配置以获得超额回报,因此对应的是systematic tacticasset allocation。 -risking是什么

2024-06-19 19:21 1 · 回答

NO.PZ201805280100000207 答案中给出的rule-base然是通过经验法则得出的,难道不是人凭主观经验得出的法则么?是否和systematic TAA中的quantative相矛盾呢?

2021-10-29 13:11 1 · 回答

NO.PZ201805280100000207 systematic tacticasset allocation和scretionary tacticasset allocation的定义是什么,并举例说明!

2021-04-23 21:49 1 · 回答

我是不同意答案的 文中没有任何迹象表明低于200天的MA就要增加5%的头寸是根据量化数据得来的 更多的是一种经验法则

2019-10-27 21:26 1 · 回答