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七七 · 2024年04月14日

passive factor-based strategy和passive factor-based momentum 策略区别

NO.PZ2019012201000047

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.

The international strategy suggested by McMahon is most likely characterized as:

选项:

A.

risk based

B.

return oriented

C.

diversification oriented

解释:

McMahon suggests that the foundation follow a passive factor-based momentum strategy, which is generally defined by the amount of a stock’s excess price return relative to the market during a specified period. Factor-based momentum strategies are classified as return oriented.

No.PZ2019012201000047 (选择题)

1 个答案
已采纳答案

笛子_品职助教 · 2024年04月15日

嗨,努力学习的PZer你好:


passive factor-based strategy和passive factor-based momentum 策略区别

Hello,亲爱的同学~

passive factor-based momentum:momentum是指使用动量这个因子做passive 投资。

passive factor-based strategy是指使用某些因子做passive 投资。至于具体使用什么因子,passive factor-based strategy可以是使用动量因子,也可以使用其他因子,例如价值、质量、市值。


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