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shirley_hd · 2019年11月15日

问一道题：NO.PZ2018110601000038

  1. CFA III
  2. Asset Allocation

问题如下：

Which of the following statements regarding tactical asset allocation and strategic asset allocation is incorrect?

选项：

A.

Strategic asset allocation represents long-term investment policy targets for asset class weights.

B.

In seeking to capture a short-term return opportunity, strategic asset allocation decisions move the investor’s risk away from the targeted risk profile.

C.

Generating alpha through tactical asset allocation decisions is dependent on successful market or factor timing rather than security selection.

解释：

B is correct.

考点：SAA vs TAA

解析：B选项的描述错误，抓短期机会的是Tactical asset allocation。TAA在短期内偏离SAA的目标，从而获得超额收益。

C选项为什么是正确的呢？

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年11月16日

嗨，爱思考的PZer你好：


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。


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粉红豹 · 2019年12月10日

TAA不包括个股选择吗？

Shimin_CPA税法主讲、CFA教研 · 2019年12月10日

不包括，课上讲的是可以“看成”是选股，但其实选的是资产大类，不是具体到每一个股票。

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