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Viva · 2019年12月29日

问一道题：NO.PZ2019012201000046

  1. CFA III
  2. Equity

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.

选项B不是也在特定银子情况下的MVO，最优化吗？

另外我的理解原来直接投大盘（国内），现在可以投资国际股票，岂不是分散化更强？

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1 个答案

maggie_品职助教 · 2020年01月01日

1、选项B是有效市场假说，被动的投资策略都是基于有效市场假说的。

2、这里让咱们比较的是被动的去投资全球的指数或被动的做因子惯性策略（passive factor-based momentum strategy），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。


粉红豹 · 2020年03月28日

老师好，题目中不是说的 a “passive” factor-based momentum strategy ，这个passive 不能说明是被动的投资策略吗？是如何排除掉B选项的啊？

maggie_品职助教 · 2020年03月29日

这道题问的是两种被动投资策略的差异，B是他们的共同点，所以不选。

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