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LinaLina · 2024年07月28日

关于passive Factor based strategy

  1. CFA III
  2. Equity

NO.PZ2023010903000017

问题如下：

Laubach states that 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.

这道题看了给其他同学的解答更困惑了，所以B选项不对的原因到底是因为视频解答中说的passive strategy 都默认市场有效假设；还是说因为这题提到了momentum ，而momentum strategy不相信市场有效

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笛子_品职助教 · 2024年07月28日

嗨，爱思考的PZer你好：


是因为视频解答中说的passive strategy 都默认市场有效假设。

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NO.PZ2023010903000017 问题如下 Laubastates thththe boaris interestein following a passive approafor some or all of the equity allocation. In aition, the boaris open to approaches thcoulgenerate returns in excess of the benchmark for part of the equity allocation. McMahon suggests ththe boarconsir following a passive factor-basemomentum strategy for the allocation to internationstocks.Comparewith broamarket-cweighting, the internationequity strategy suggesteMcMahon is most likely to: A.concentrate risk exposure B.baseon the efficient market hypothesis C.overweight stocks threcently experiencelarge pricreases Comparewith broamarket-cweighting, passive factor-basestrategies tento concentrate risk exposure, leaving investors vulnerable ring perio when the risk factor (e.g., momentum) is out of favor. 老师，为什么选A1.这道题的判断A的思路主要来自于哪个点？2.international不是应该比broamarket-cap更具有投资范围广和分散化的效果么？3.C怎么判断？

2024-08-01 00:35 1 · 回答

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2024-07-30 22:09 1 · 回答