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zzhbluesky · 2019年10月24日

问一道题:NO.PZ201805280100000207 第7小题

* 问题详情,请 查看题干

问题如下图:

    

选项:

A.

B.

C.

解释:


为什么不是C呢,题中还提到include a plan,说明是有计划而非随机性的啊,根据定义:Discretionary TAA is predicated on the existence of manager skill in predicting and timing short-term market moves away from the expected outcome for each asset class that is embedded in the SAA policy portfolio.
Using signals, systematic TAA attempts to capture asset class level return anomalies that have been shown to have some predictability and persistence,感觉应该是C啊

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年10月25日

原文"include a plan for short-term deviations from strategic asset allocation targets"

short-term deviations from strategic asset allocation targets指的是tactical asset allcation。所以这句话只能说明有TAA,但不能说明用了哪一种TAA。

关键在于后面一句话,以50日移动平均和200日移动平均作为调整权重的依据,所以是量化的方法。

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