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mino酱是个小破货 · 2022年05月06日

请老师讲解选项C

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000038

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。

alpha from TAA？factor&timing

alpaha feom SAA？asset class吗？没有这个说法吧？这个是beta吗？

security selection能获得啥？具体选股算啥呢。选股获得的超额收益，这是残差吗

这道题我可以选对，但含糊，麻烦老师帮忙区分

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已采纳答案

lynn_品职助教 · 2022年05月06日

嗨，爱思考的PZer你好：


 

1、       Strategic asset allocation 是基于客户的IPS以及长期资本市场的预期形成的资产配置方案，所以它可以看成是基金经理实际投资时的benchmark。beta收益是指数基金完全跟踪指数时获得的收益，难以获取超出市场组合的超额收益。SAA不一定是被动投资啊，基金经理可以主动。

2、       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

3、       security selection 是个股的挑选，是具体到选择某一只股票。他这句话其实前半句说的是SAA，后半句说的是TAA。

Channel’s pension fund may rebalance portfolio weights from the strategic allocation，我们认为rebalance就是要调整portfolio，使其不偏离SAA的policy portfolio,

 

exploit perceived opportunities based on its lastest five year capital market expectations. 这句话说的就是TAA，利用短期的资本市场预期获得超额回报。

 

其实两个半句都没错，但是合在一起就错了，合在一起翻译就是rebalance的目的是通过TAA获得超额回报，其实不是，rebalance是为了调整portfolio使其不过于偏离目标权重~

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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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