主动投资收益低于被动投资收益,,答案不是a吗,risk-adjusted return 到底是什么意思?被动投资改变策略的风险为什么会低于主动投资!?问一道题:NO.PZ2018062002000085 [ CFA I ]问题如下图:
选项:
A.
B.
C.
解释:
Debrah_品职答疑助手 · 2020年04月22日
同学你好,在半强有效市场,证券价格不但完全反映了所有历史信息,而且完全反映了所有公开发表的信息。在次强有效率市场上,各种信息一经公布,证券价格将迅速调整到其应有的水平上,使得任何利用这些公开信息对证券价格的未来走势所做的预测对投资者失去指导意义,从而使投资者无法持续获取超额利润。但因为主动投资还需要支付交易成本,因此半强市场下,被动投资的收益要高于主动投资的收益。B是正确的。
risk-adjusted return其实就是Alpha。原版书对于Alpha的定义是, the difference between the return of the actively managed portfolio and the return of the passive portfolio, is a measure of risk-adjusted return or investment performance
NO.PZ2018062002000085问题如下In a semi-strong-form efficient market, the risk-austereturns of a passively manageportfolio woulbe:A.lower thactively manageportfolio.B.higher thactively manageportfolio.C.equto actively manageportfolio. B is correct.The risk-austereturns of a passively manageportfolio woulhigher thactively manageportfolio if the market is semi-strong-form efficient.考点Efficient CapitMarket AnIts Forms在半强有效市场中,active的策略也无法获得超额收益,但它比passive投资策略成本还高。所以passive投资策略会优于active投资策略。 本题中的austereturn跟actureturn 应该是有区别的吧, 为何在比较austereturn时要考虑交易成本
NO.PZ2018062002000085 问题如下 In a semi-strong-form efficient market, the risk-austereturns of a passively manageportfolio woulbe: A.lower thactively manageportfolio. B.higher thactively manageportfolio. C.equto actively manageportfolio. B is correct.The risk-austereturns of a passively manageportfolio woulhigher thactively manageportfolio if the market is semi-strong-form efficient.考点Efficient CapitMarket AnIts Forms在半强有效市场中,active的策略也无法获得超额收益,但它比passive投资策略成本还高。所以passive投资策略会优于active投资策略。 在此题干条件下,两种投资策略的β一样吗?