爆同學(xué)
2021-05-18 14:28第二題沒懂。discretionary TAA是短期的，沒法預(yù)測(cè)所以不能predictability and persistence，我看以前的回復(fù)好像是說systematic就可以?為什么？ statement3，TAA到底能超出range么？好像之前的回復(fù)是說不能超過IPS range，但是能偏離長(zhǎng)期的SAA
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Johnny助教
2021-05-20 19:16
該回答已被題主采納
同學(xué)你好。Statement 2如果把discretionary TAA改成systematic TAA的話那么statement 2就對(duì)了。以下兩句話需要記?。?br/>1.Discretionary TAA is predicated on the existence of manager skill in predicting and timing short-term market moves away from the expected outcome for each asset class that is embedded in the SAA policy portfolio
2.Systematic TAA attempts to capture asset class level return anomalies that have been shown to have some predictability and persistence.
TAA是不可以超出upper和lower limit的，但是會(huì)對(duì)SAA產(chǎn)生偏離，SAA就是target weight，TAA會(huì)偏離target weight但是不會(huì)超出上下限。
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