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莼菜 · 2020年05月30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。

即使B改成TAA也不对吧，TAA偏离资产配置比例，但并不可以改变risk profile吧？
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1 个答案

纠纠_品职答疑助手 · 2020年05月31日

嗨，爱思考的PZer你好：


B想表述的意思是偏离原先的设定的Benchmark，实际投资的风险偏离benchmark，所以承担的是active risk，那么就需要获得相应的active return，所以抓短期投资机会，抓的就是偏离benchmark而获得的超额收益，这种资产配置的方法叫做 Tactical asset allocation 。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


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