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JYJY · 2022年08月28日

想问答案解析的后半句话是什么意思？

  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.

什么叫做out of factor

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我叫仙人涨 · 2022年08月29日

leaving investors vulnerable during periods when the risk factor (e.g., momentum) is out of favor. 在市场震荡情况下， 用risk factor 方法是不受青睐的（out of favor）,因为这个risk factor 方法容易让投资者容易受伤亏损 。比如momentum趋势，在市场动荡时候，不一定是哪个方向，万一猜错了，momentum会导致大亏

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笛子_品职助教 · 2022年08月29日

嗨，从没放弃的小努力你好：


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.


out of favor就是表现不佳的意思

这里的意思是， passive factor-based strategies 会集中投资者于某些因子，比如集中投资于momentum因子。

当momentum因子表现不好的时候（out of favor），passive factor-based strategies的表现就会比broad market 要差，投资者就要承担这个风险。


举个例子吧，比如投资者认为value 因子要比growth因子好，因此大量投资value因子，也就是低估值的股票，portfolio里100%的股票都是低估值。

但是此时，市场风格是，成长股走势更强，价值股走势更弱，而broad market index是比较均衡的，成长股和价值股各一半。


由于成长股表现比价值股强，而投资者大量投资了表现较差的价值股，就会导致价值这个因子表现不佳（out of favor），从而投资者的factor-based strategies 的收益表现，差于broad market index。

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