Читать книгу Alternative Investments - Black Keith H. - Страница 39

Tactical asset allocation has a long history and has been used by large and small asset owners.8 However, there is no well-established definition of TAA, and different authors and investment firms use the term to mean different things. One thing that all uses of TAA seem to have in common is that it represents a form of active management of a portfolio. Tactical asset allocation (TAA) is defined as an active strategy that shifts capital to those asset classes that are expected to offer the most attractive risk-return combination over a short- to medium-term time horizon. In this sense, TAA is a dynamic asset allocation strategy that actively adjusts a portfolio's strategic asset allocation (SAA) based on short- to medium-term changes in the economic and financial environment. TAA will add value if it can systematically take advantage of temporary market inefficiencies and departures of asset prices from their fundamental values. As discussed in Chapter 1, over time, SAA allocation is the most important driver of a portfolio's risk-return characteristics. TAA can add value if (1) there are short- to medium-term inefficiencies in some markets, and (2) a systematic approach can be designed to exploit these inefficiencies while overcoming the risks and costs that are associated with active portfolio management.9