NO.PZ2015122802000085
问题如下:
If a market is semi-strong-form efficient, the risk-adjusted returns of a passively managed portfolio relative to an actively managed portfolio are most likely:
选项:
A.lower.
B.higher.
C.the same.
解释:
B is correct.
In a semi-strong-form efficient market, passive portfolio strategies should outperform active portfolio strategies on a risk-adjusted basis.
考点:Efficient Capital Market And Its Forms
在半强有效市场中,active的策略也无法获得超额收益,但它比passive投资策略成本还高。所以passive投资策略会优于active投资策略。
题干If a market is semi-strong-form efficient, the risk-adjusted returns of a passively managed portfolio relative to an actively managed portfolio are most likely:
以下理解正确吗?
如果是半强有效的市场,(又因为证券法规定不可使用private info): 因此,建议使用被动投资的方法。
因为:
主动投资不能获取超额收益,α=0。
被动投资不能获取超额收益,α=0。
但由于主动投资产生的交易成本比被动投资高,所以,被动投资获得的收益比主动投资要高。