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Melodyxie · 2020年01月19日

问一道题：NO.PZ201809170400000301

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

问题如下：

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：

A is correct. 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.

B为什么不对呢

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1 个答案

maggie_品职助教 · 2020年01月21日

1、因为这道题是让我们作比较，不管是基于大盘的被动投资还是基于因子策略都是建立在市场有效的假设前提下的。

2、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。

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