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1111111117 · 2025年01月23日

怎么理解passive factor-based

  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.

怎么理解passive factor-based，passive 不是相信市场有效，所以直接投市场组合就可以了吗，为什么还会选factor

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笛子_品职助教 · 2025年01月24日

嗨，从没放弃的小努力你好：


怎么理解passive factor-based，passive 不是相信市场有效，所以直接投市场组合就可以了吗，为什么还会选factor

Hello，亲爱的同学~

passive factor-based是相信passive factor的市场有效，而不是broad market有效。


例如，passive factor-based会认为，“标准普尔小盘价值股指数”有效，而不是标准普尔指数有效。

因此，在这个例子中，passive factor-based会长期被动投资于标准普尔小盘价值股指数，不会做调整。

因为做调整，做择时，运用投资技巧，最终也无法跑赢标准普尔小盘价值股指数。


无论是认为哪个市场有效，都统称为based on the efficient market hypothesis

因此Passive factor与broad Market都认为市场有效，B是共同点，题目要选不同点，B不选。



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