Lucky_品职助教 · 2024年06月03日
嗨，努力学习的PZer你好：
同学你好：
C选项的意思是通过TAA获得α取决于market or factor timing（择时），而不是security selection（选股）。
TAA和security selection，TAA中的“选”是选择资产类型，不是具体到每一个股票。
我们假设top-down的方法，正确的顺序是先有strategic AA（大方向），再有 Tactical AA，最后再挑个股（security selection）。
这是两个完全不同的动作。
security selection 是个股的挑选，是具体到选择某一只股票。而 TAA 更多的是择时，选择的是资产类型。所以C选项说，TAA取决于market or factor timing这个因素是正确的。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
Xiaochong · 2024年06月21日
谢谢助教，这一下更加清晰了！
NO.PZ2018110601000038问题如下Whiof the following statements regarngtacticasset allocation anstrategic asset allocation is incorrect? A.Strategic asset allocation representslong-term investment politargets for asset class weights. B.In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. C.Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection.B is correct.考点Svs TAA解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 On successful market是啥意思有效市场？有效市场上是没法活的阿尔法的呀
NO.PZ2018110601000038 In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection. B is correct. 考点Svs T解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 获得alpha 择股和择时不是一样重要吗？
NO.PZ2018110601000038 问题如下 Whiof the following statements regarngtacticasset allocation anstrategic asset allocation is incorrect? A.Strategic asset allocation representslong-term investment politargets for asset class weights. B.In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. C.Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection. B is correct.考点Svs TAA解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 C是啥意思
NO.PZ2018110601000038问题如下Whiof the following statements regarngtacticasset allocation anstrategic asset allocation is incorrect? A.Strategic asset allocation representslong-term investment politargets for asset class weights. B.In seeking to capture a short-term returnopportunity, strategic asset allocation cisions move the investor’s risk awayfrom the targeterisk profile. C.Generating alpha through tacticassetallocation cisions is pennt on successful market or factor timing ratherthsecurity selection.B is correct.考点Svs TAA解析B的描述错误，抓短期机会的是Tacticalasset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。 alpha from TAA？factor timingalpaha 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
