Robyn
2024-01-23 22:51discretionary和systematic在題目里一般分別是什么樣的描述？
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個回答
Johnny助教
2024-01-24 11:22
該回答已被題主采納
同學(xué)你好，以下是兩者的定義
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
Discretionary TAA是基于投資經(jīng)理的預(yù)測技巧，當(dāng)他預(yù)測短期內(nèi)市場變動會偏離原本SAA組合所預(yù)測的資產(chǎn)大類投資結(jié)果，那么此時所進(jìn)行的TAA就是discretionary.
Using signals, systematic TAA attempts to capture asset class level return anomalies that have been shown to have some predictability and persistence. Value and momentum, for example, are factors that have been determined to offer some level of predictability, both among securities within asset classes (for security selection) and at the asset class level (for asset class timing).
Systematic TAA試圖通過信號（signal）來捕捉到資產(chǎn)大類的異常收益，而且這些異常收益能夠被預(yù)測并有持續(xù)性（如果anomalies根本沒法預(yù)測或者只是曇花一現(xiàn)，也就無法以此進(jìn)行TAA了）。根據(jù)技術(shù)分析來進(jìn)行TAA就屬于systematic TAA
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