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一只可爱的猪 · 2021年09月23日

HHI

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000301

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.

老师，我这里通过1/0.0286，计算出有效股票个数为35，那不是更不集中吗？因为M构建的是150只股票的，为什么选A

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1 个答案

笛子_品职助教 · 2021年09月25日

嗨，努力学习的PZer你好：


 passive factor-based strategies会更集中的偏向某些风险因子，所以相对broad-market-cap weighting,持股更集中。



1/0.0286，计算出有效股票个数为35，指benchmark的有效股票数量是35只。benchmark有150只股票，但是有效股票数量只有35只。35和150都是衡量的Benchmark，和 passive factor-based strategies没有关系。


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