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必过1030_ · 2020年01月27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.

这道题思路是什么啊？

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1 个答案

maggie_品职助教 · 2020年02月04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。

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