努同學
2024-01-28 19:15第三題，We will aim for generating alpha through TAA decisions which will be dependent on the successful market or factor timing rather than security selection。 依賴successful market，而不是security selection，這不就在告訴你這個是systemetic嗎，哪里需要個人判斷，為啥不選systemetic？
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Johnny助教
2024-01-28 20:27
該回答已被題主采納
同學你好，以下是兩者的定義
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
Discretionary TAA是基于投資經(jīng)理的預測技巧以及擇時技巧，當他預測到短期內(nèi)市場變動會偏離原本SAA組合所預測的資產(chǎn)大類投資結果并且把握到這個偏離所發(fā)生的時間節(jié)點，那么此時所進行的TAA就是discretionary.
2. 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測并有持續(xù)性（如果anomalies根本沒法預測或者只是曇花一現(xiàn)，也就無法以此進行TAA了）。根據(jù)技術分析來進行TAA就屬于systematic TAA）
既然這里是通過對未來市場的短期預測來進行TAA，那么就是discretionary TAA
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