NO.PZ201805280100000102
问题如下:
2. Which of Capara’s statements regarding tactical asset allocation is correct?
选项:
A.Statement 1
B.Statement 2
C.Statement 3
解释:
A is correct.
The Sharpe ratio is suitable for measuring the success of TAA relative to SAA. Specifically, the success of TAA decisions can be evaluated by comparing the Sharpe ratio realized under the TAA with the Sharpe ratio that would have been realized under the SAA.
考点:tactical asset allocation
解析:Statement 1考查的是结论,Sharpe ratio可以用来评估TAA的表现是否优于SAA,正确。Statement 2描述的是systematic TAA而不是Discretionary TAA ,错误。Statement 3错在deviate from这个词,意思是偏离,原文的意思是TAA 可以偏离出IPS的上下限,说反了,TAA 可以偏离但不能超过IPS限定的上下限。因此正确选项A。
systematic TAA和Discretionary TAA的区别,本题中的描述属于systematic TAA?