NO.PZ2018062002000085
问题如下:
In a semi-strong-form efficient market, the risk-adjusted returns of a passively managed portfolio would be:
选项:
A.
lower than an actively managed portfolio.
B.
higher than an actively managed portfolio.
C.
equal to an actively managed portfolio.
解释:
B is correct.
The risk-adjusted returns of a passively managed portfolio would be higher than an actively managed portfolio if the market is semi-strong-form efficient.
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。
本题中的adjusted return跟actual return 应该是有区别的吧, 为何在比较adjusted return时要考虑交易成本