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尚好的青春 · 2023年12月22日

可否讲解一下为什么选A,为什么不选C?

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NO.PZ202207040100000601

问题如下:

When comparing factor-based strategies relative to the market-cap weighting of an index, Stapleton’s comments are most likely:

选项:

A.incorrect regarding transparency. B.correct. C.incorrect regarding risk exposure.

解释:

Solution

C is correct. Stapleton’s comment is incorrect regarding risk exposure. Relative to broad-market-cap-weighting, passive factor-based strategies tend to concentrate risk exposures, leaving investors exposed during periods when a chosen risk factor is out of favor.

A is incorrect. Stapleton’s comment is correct regarding transparency. Passive factor-based strategies tend to be transparent in terms of factor selection, weighting, and rebalancing. The strategies can be easily replicated by other investors which can produce overcrowding and reduce the realized advantages of a strategy.

B is incorrect. Stapleton’s comment is correct regarding transparency but incorrect regarding risk exposure. Passive factor-based strategies tend to be transparent in terms of factor selection, weighting, and rebalancing. The strategies can be easily replicated by other investors which can produce overcrowding and reduce the realized advantages of a strategy. Relative to broad-market-cap-weighting, passive factor-based strategies tend to concentrate risk exposures, leaving investors exposed during periods when a chosen risk factor is out of favor.

如题

1 个答案

笛子_品职助教 · 2023年12月23日

嗨,努力学习的PZer你好:


可否讲解一下为什么选A,为什么不选C?


Hello,亲爱的同学~

我们看解析:红框内容。


这道题的答案是选C的。


再看原题。


本题答案是选C,不选A。

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努力的时光都是限量版,加油!

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