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moon · 2022年08月11日

传统的MVO方法可能会风险集中，factor based可以解决这个问题，更分散化

  1. CFA III
  2. Equity

NO.PZ2019012201000046

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.

为什么会选A？

记得老师上课说过，传统的MVO方法可能会风险集中，factor based可以解决这个问题，更分散化

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2 个答案

笛子_品职助教 · 2022年08月13日

嗨，爱思考的PZer你好：


broad market 与factor based有什么区别

broad market 是原始市场指数，比如标准普尔500

factor based是指对原始市场指数，加大某一个因子的配置，比如value 因子的factor based，就是在标准普尔500指数中，挑选符合“价值因子”特征的股票形成投资组合。

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努力的时光都是限量版，加油！

笛子_品职助教 · 2022年08月11日

嗨，努力学习的PZer你好：


记得老师上课说过，传统的MVO方法可能会风险集中，factor based可以解决这个问题，更分散化

同学的理解是正确的。factor- based比MVO更分散。


但是本题是比较broad market 与factor based，并不是比较MVO和factor based。factor based要比broad market更集中。

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努力的时光都是限量版，加油！

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