陳同學(xué)
2021-08-25 05:06老師， 在前面的問(wèn)題解答中您提到過(guò)Discretionary TAA和.Systematic TAA的區(qū)別： 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." 我的問(wèn)題是，教材中提出systematic TAA主要是采取quantitative views, 而discretionary TAA中采取的主要是qualitative views and manager skills, 那為什么基于manager skills and qualitative 的 discretionary TAA就不具備persistence and predictability這兩個(gè)特點(diǎn)呢？
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Johnny助教
2021-08-25 11:53
該回答已被題主采納
同學(xué)你好，persistence和predictability是形容asset class return anomoly的，正是由于這些收益異常持續(xù)存在而且可預(yù)測(cè)，這才給了systematic TAA機(jī)會(huì)來(lái)獲取更高的收益。這個(gè)persistence和predictability并不是用于形容TAA本身的，所以不要搞混。
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