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jessieeee2000 · 2020年03月10日

问一道题：NO.PZ2018110601000038 [ CFA III ]

  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不对吧 在原版书课后题的视频中讲到 discretionaryTAA是择时而systematicTAA是选股。这又是怎么回事呢？
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2 个答案

郭静_品职助教 · 2021年04月23日

嗨，努力学习的PZer你好：


大意是对的，但是不是个股，是资产类别~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Shimin_CPA税法主讲、CFA教研 · 2020年03月11日

嗨，努力学习的PZer你好：


首先 asset allocation 和 security selection 是不同的概念。asset allocation 是资产大类上的配置， security selection是针对个股的选择。 课后题讲解的意思是：systematic TAA类似于选股，指的是选择了资产大类，而不是选择了个股。


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加油吧，让我们一起遇见更好的自己！


lman · 2021年04月23日

所以说TAA和benchmark的个股成分是完全一样，就是短期比例不同么？

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