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yan · 2024年09月23日

deviate from 是指偏离出上下限的意思么？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000102

问题如下：

2. Which of Capara’s statements regarding tactical asset allocation is correct?

选项：

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释：

A is correct.

The Sharpe ratio is suitable for measuring the success of TAA relative to SAA. Specifically, the success of TAA decisions can be evaluated by comparing the Sharpe ratio realized under the TAA with the Sharpe ratio that would have been realized under the SAA.

考点：tactical asset allocation

解析：Statement 1考查的是结论，Sharpe ratio可以用来评估TAA的表现是否优于SAA，正确。Statement 2描述的是systematic TAA而不是Discretionary TAA ，错误。Statement 3错在deviate from这个词，意思是偏离，原文的意思是TAA 可以偏离出IPS的上下限，说反了，TAA 可以偏离但不能超过IPS限定的上下限。因此正确选项A。

deviate from 是指偏离出上下限的意思么？


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Lucky_品职助教 · 2024年09月24日

嗨，努力学习的PZer你好：


同学你好：


deviate from 是偏离的意思，在 statement 3的描述中，deviate from the IPS asset-class upper and lower limits 指的就是，TAA会偏离出某一类资产在IPS中设定好的范围（上下限）。这种描述是错误的，因为无论有再好的短期机会，TAA的调整，都不能超过IPS中设定好的 range，比如IPS中已经设定了对国内股票的权重范围是25%-35%，这个是SAA，现在股票的权重是28%，如果投资经理预期在短期内股票市场会大幅波动，那么它可以调高股票的权重到35%，或是调低到25%，但是不能偏离出这两个界限。


关于SAA和TAA我再多说一点。

SAA (Strategic)是和tactical AA相对的，SAA是长期战略，TAA是短期的在可控范围内的战术偏离。

在为客户构建portfolio的时候，广义上讲是有三个步骤的，第一个是SAA，第二步是TAA，第三步是SS。

SAA（strategic Asset allocation）是长期战略资产配置，主要的就是指的大类的资产类别之间进行配置，而配置的基础就要根据客户对收益和风险，投资期，特殊偏好等特征来进行，在这一步能够获得的expected return premium，是一个事前的收益。

TAA（Tactical Asset allocation）是短期的在可控范围内的战术资产配置，在已经配置好的SAA基础上，如果投资经理能够抓到短期机会，就会对SAA的配置权重做出短期的变化，从而获得α。

SS（security selection）选股，就是需要通过投资经理的个人分析和判断，从已经选定的大类资产中，去进一步选择具体投资的证券。


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NO.PZ201805280100000102 我理解SHARP RATIO是衡量TAA和BENMARK 之间的差距，怎么理解这里SAA就是指BENMARK呢。谢谢

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NO.PZ201805280100000102 咋看出来statement2说的是systematic TAA啊

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