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FrankSun · 2019年12月27日

问一道题:NO.PZ2018070201000133

问题如下:

What is the main purpose of tactical asset allocation strategy:

选项:

A.

trying to take the advantage of the arbitrage possibility among the asset classes.

B.

deviating from the policy portfolio deliberately.

C.

selecting asset classes with the desired exposures to systematic risk of the portfolio.

解释:

B is correct.

An investor uses tactical asset allocation to make actual asset allocation deviating from the strategic asset allocation of the policy portfolio which is described in the IPS. Tactical asset allocation can be used to take advantage of temporary dislocations from the market conditions and assumptions which drove the policy portfolio decision.

老师,A不对应该用了套利该词吗

1 个答案

星星_品职助教 · 2019年12月27日

同学你好,

TAA的本质是抓短期机会。也就是短期看好某一个资产大类的话,可以偏离之前Strategic asset allocation(SAA)定下来的资产大类的分配方式。

举例来说,SAA规定投资方向是股票50%,债券50%,但如果短期很确定牛市来了,股票大概率会涨,就没必要死守着50%不放,可以在IPS规定的范围内多投一些股票。等牛市过去再回复原状。

所以TAA的定义其实就是B,直接选就行。A,C都是凑选项的。TAA的目的不是去抓套利机会的,也不是处理系统性风险的。

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