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🍀 · 2024年04月07日

选项C不对的原因？

  1. CFA III
  2. Equity

NO.PZ2019012201000046

问题如下：

Laubach states that the board is interested in following a passive approach for some or all of the equity allocation. In addition, the board is open to approaches that could generate returns in excess of the benchmark for part of the equity allocation. McMahon suggests that the board consider following a passive factor-based momentum strategy for the allocation to international stocks.

Compared with broad-market-cap weighting, the international equity strategy suggested by McMahon is most likely to：

选项：

A.

concentrate risk exposure

B.

be based on the efficient market hypothesis

C.

overweight stocks that recently experienced large price decreases

解释：

Compared with broad-market-cap weighting, passive factor-based strategies tend to concentrate risk exposure, leaving investors vulnerable during periods when the risk factor (e.g., momentum) is out of favor.

1）题目问的是相较于市值加权，追涨杀跌动量策略的特点吧？

2）选项C不对是因为动量策略买入上涨的股票卖出下跌的股票，应该是overweight stocks that recently experienced large Price increases, 对么？

3）fundamentally weighted strategies 策略是买入低估股票，卖出高估股票。overweight stocks that recently experienced large Price decrease，对么？


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笛子_品职助教 · 2024年04月08日

嗨，爱思考的PZer你好：


1）题目问的是相较于市值加权，追涨杀跌动量策略的特点吧？

Hello，亲爱的同学~

是的，同学理解正确。


2）选项C不对是因为动量策略买入上涨的股票卖出下跌的股票，应该是overweight stocks that recently experienced large Price increases, 对么？

是的，同学理解正确。

动量策略是追涨杀跌，买入过去表现好的股票。

C是买入过去价格跌的股票，因此不对。


3）fundamentally weighted strategies 策略是买入低估股票，卖出高估股票。overweight stocks that recently experienced large Price decrease，对么？

这里稍微纠正一下同学的描述。

基本面权重是运用基本面因子进行选股，例如买入符合value因子、质量因子的股票。

价格低估的股票，不一定价格会下跌。

比如一个股票价格是上涨的，但它的市盈率比同行业可比公司要低，这个股票就符合value因子特点，用这样的依据买入股票，就符合fundamentally weighted。

所以不一定有：experienced large price decrease。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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