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Zunniyaki · 2023年03月07日

为什么不选C?

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NO.PZ202207040100001003

问题如下:

From Exhibit 2, MultiFAK’s primary strategy is most likely:

选项:

A.risk reduction. B.diversification. C.return oriented.

解释:

Solution

A is correct. MultiFAK uses a risk reduction strategy. It overweights low volatility (31% versus 28%), which is a risk reduction approach; underweights momentum (14% versus 17%), which is a return-oriented approach; and uses fewer securities (91 versus 100) overall than the index, which is not a diversification approach.

B and C are incorrect.

老师,请问这里答案中说了underweights momentum (14% versus 17%), which is a return-oriented approach,为什么不选C?

1 个答案

笛子_品职助教 · 2023年03月08日

嗨,努力学习的PZer你好:


Hello,亲爱的同学!

按照教材的说法,momentum策略是属于return - oriented approach。


momentum策略是指:overweight momentum factor,也就是买入过去涨幅较好的股票。因为美国人通过对美国市场几十年的历史研究发现,美国股市具有动量效应,overweight momentum factor能带来超越broad market的收益。


看到这里同学也就明白了,momentum是指overweight momentum factor,这才是return - oriented。


本题是under weight momentum,因此不选C。




----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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