问题如下图：老师，这题没明白考哪个知识点
选项：
A. 
B. 
C. 
解释：
maggie_品职助教 · 2019年12月28日
这道题考查的是passive factor-based strategy与传统的被动投资的区别：
相比直接投大盘（broad-market-cap-weighting），passive factor-based strategy 属于新型被动投资的一种方法。比如我对size factor感兴趣，就找size有关的index。而这里是passive factor-based momentum strategy，说明我感兴趣的因子是momentum factor（惯性指标：过去涨将来还涨）。因此相比我们过去大盘有什么我们就投资什么，基于因子的选股策略，将风险敞口更加集中化了。
NO.PZ2019012201000046问题如下 Laubastates ththe boaris interestein following a passive approafor some or all of theequity allocation. In aition, the boaris open to approaches thcoulenerate returns in excess of the benchmark for part of the equity allocation.McMahon suggests ththe boarconsir following a passive factor-baseomentum strategy for the allocation to internationstocks.Compareith broamarket-cweighting, the internationequity strategy suggestebyMcMahon is most likely to A.concentrate risk exposure B.baseon the efficient market hypothesis C.overweight stocks threcently experiencearge pricreases Comparewith broamarket-cweighting,passive factor-basestrategies tento concentrate risk exposure, leavinginvestors vulnerable ring perio when the risk factor (e.g., momentum) isout of favor. 上面两道题目，关于tracking error 是不是有点冲突。5.1题说的是当n的数量越多时，tracking error 越大，但如果用这个逻辑去做5.2题时，那manager B的n=504，n最大，不应该tracking error比C大吗？然而5.2李老师说的是从portfolio与benchmark像不像的角度出发，我已经晕了
NO.PZ2019012201000046 问题如下 Laubastates ththe boaris interestein following a passive approafor some or all of theequity allocation. In aition, the boaris open to approaches thcoulenerate returns in excess of the benchmark for part of the equity allocation.McMahon suggests ththe boarconsir following a passive factor-baseomentum strategy for the allocation to internationstocks.Compareith broamarket-cweighting, the internationequity strategy suggestebyMcMahon is most likely to A.concentrate risk exposure B.baseon the efficient market hypothesis C.overweight stocks threcently experiencearge pricreases Comparewith broamarket-cweighting,passive factor-basestrategies tento concentrate risk exposure, leavinginvestors vulnerable ring perio when the risk factor (e.g., momentum) isout 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）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 threcently experiencelarge Priincreases, 对么？3）funmentally weightestrategies 策略是买入低估股票，卖出高估股票。overweight stocks threcently experiencelarge Pricrease，对么？
NO.PZ2019012201000046问题如下 Laubastates ththe boaris interestein following a passive approafor some or all of theequity allocation. In aition, the boaris open to approaches thcoulenerate returns in excess of the benchmark for part of the equity allocation.McMahon suggests ththe boarconsir following a passive factor-baseomentum strategy for the allocation to internationstocks.Compareith broamarket-cweighting, the internationequity strategy suggestebyMcMahon is most likely to A.concentrate risk exposure B.baseon the efficient market hypothesis C.overweight stocks threcently experiencearge pricreases Comparewith broamarket-cweighting,passive factor-basestrategies tento concentrate risk exposure, leavinginvestors vulnerable ring perio when the risk factor (e.g., momentum) isout of favor. passive 投资不是就是假设市场是有效的吗
NO.PZ2019012201000046 问题如下 Laubastates ththatthe boaris interestein following a passive approafor some or all of theequity allocation. In aition, the boaris open to approaches thcoulenerate returns in excess of the benchmark for part of the equity allocation.McMahon suggests ththe boarconsir following a passive factor-baseomentum strategy for the allocation to internationstocks.Compareith broamarket-cweighting, the internationequity strategy suggestebyMcMahon is most likely to A.concentrate risk exposure B.baseon the efficient market hypothesis C.overweight stocks threcently experiencearge pricreases Comparewith broamarket-cweighting,passive factor-basestrategies tento concentrate risk exposure, leavinginvestors vulnerable ring perio when the risk factor (e.g., momentum) isout of favor. 什么叫做out of factor
NO.PZ2019012201000046 问题如下 Laubastates ththatthe boaris interestein following a passive approafor some or all of theequity allocation. In aition, the boaris open to approaches thcoulenerate returns in excess of the benchmark for part of the equity allocation.McMahon suggests ththe boarconsir following a passive factor-baseomentum strategy for the allocation to internationstocks.Compareith broamarket-cweighting, the internationequity strategy suggestebyMcMahon is most likely to A.concentrate risk exposure B.baseon the efficient market hypothesis C.overweight stocks threcently experiencearge pricreases Comparewith broamarket-cweighting,passive factor-basestrategies tento concentrate risk exposure, leavinginvestors vulnerable ring perio when the risk factor (e.g., momentum) isout of favor. 为什么会选A？记得老师上课说过，传统的MVO方法可能会风险集中，factor base以解决这个问题，更分散化