NO.PZ202207040100000505
问题如下：
Which of the following is best described as a major drawback of using Thompson’s approach? It is subject to:选项：
A.a value trap. B.a growth trap. C.extreme tail risk.解释：
Solution
C is correct. The use of the rewarded factor price momentum is subject to extreme tail risk.
A is incorrect. The value trap refers to the appearance of a cheap value and is not associated with price momentum.
B is incorrect. The growth trap refers to stocks that appear to have continuing growth in earnings, not price.
中文解析：
本题考查的是factor-based投资策略中的price momentum factor。
价格动量简单概括就是股价有惯性。研究结论表明，近12个月表现更好的股票在接下来的2-12个月趋势还会持续，但也存在短期反转，过去价格动量强的股票在接下来的2-12个月可能会表现不好。价格动量主要是投资者的行为偏差导致的，比如对新信息过度反应。实证研究表明，价格动量面临极端尾部风险。
使用价格动量策略投资意味着买入过去表现高于平均的股票，卖出过去表现低于平均的股票，这很容易导致投资组合在某个行业上“下赌注”，因此会面临很大的downside risk，这也是sector-neutral之后的price momentum策略能够降低downside risk的原因。
value trap指的是看起来价格被“低估”的股票有可能真的是未来前景差而不值钱，growth trap指的是投资者投资高成长性的股票，认为未来公司盈利出现高增长时股价会上涨，但实证研究表明，高估值成长股的平均回报远不及低估值价值股。
Extreme tail risk, also known as "fat tail risk," refers to the financial risk of an asset or portfolio of assets moving more than three standard deviations from its current price, which is beyond the risk indicated by a normal distribution. It represents the risk of rare and extreme events, often referred to as "black swan" events, which can have significant negative impacts on financial markets and investments
.
Key Characteristics
- Low Probability: These events are rare and have a low probability of occurring.
- High Impact: When they do occur, they can cause substantial losses and disruptions in financial markets.
- Non-Normal Distribution: Extreme tail risks are associated with distributions that have heavier tails than the normal distribution, meaning they have a higher probability of extreme values.
确实是和笛子_品职助教说的一样，小概率事件，但发生会影响很大，有可能会获得高收益，但损失也会很极端。这种缺点就是黑天鹤小概率。
