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米妮涵 · 2023年06月18日

C为什么不选

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NO.PZ202207040100000704

问题如下:

In order to select the most appropriate benchmark index to fit the description in the mandate of Pool 3, the index construction should:

选项:

A.be exhaustive.

B.use free-float weighting.

C.use fundamental weighting.

解释:

Solution

B is correct. The mandate of Pool 3 emphasizes liquidity as a benchmark feature. Free-float weighting is a form of capitalization weighting. A cap-weighted index can be thought of as a liquidity-weighted index because the largest-cap stocks tend to have the highest liquidity and the greatest capacity to handle investor flows at a manageable cost.

A is incorrect. Exhaustive inclusion uses every stock in an index regardless of its liquidity.

C is incorrect. The mandate of Pool 3 explicitly states a belief in efficient markets. Fundamental weighting intends to exploit possible inefficiencies in market pricing caused by the overuse of cap-weighted approaches.

能解释一下C选项么,基本面的这个答案解释是什么意思

1 个答案

笛子_品职助教 · 2023年06月19日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

.use fundamental weighting就是指通过基本面因子进行投资。

例如,基金经理会认为价值股的表现更好,于是投资低估值的公司,这是投资于价值因子,这就是一种fundamental weighting。

因子投资的前提,是认为市场(broad market)无效,因此才能通过在某些因子上,配置超额的权重,来获取收益。

因此C不正确。pool3的授权明确表明了对有效市场的信念。

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