As an additional source of alpha, Mayer proposes tactically adjusting KUE’s asset-class weights to profit from short-term return opportunities. To confirm his understanding of tactical asset allocation (TAA), Capara tells Mayer the following:
Statement 1
The Sharpe ratio is suitable for measuring the success of TAA relative to SAA.
Statement 2
Discretionary TAA attempts to capture asset-class-level return anomalies that have been shown to have some predictability and persistence.
Statement 3
TAA allows a manager to deviate from the IPS asset-class upper and lower limits if the shift is expected to produce higher expected risk-adjusted returns.
请问为什么statement2不对呢？
