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让我爱你 · 2019年12月18日

问一道题：NO.PZ2019012201000047

  1. CFA III
  2. Equity

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.

The international strategy suggested by McMahon is most likely characterized as:

选项：

A.

risk based

B.

return oriented

C.

diversification oriented

解释：

McMahon suggests that the foundation follow a passive factor-based momentum strategy, which is generally defined by the amount of a stock’s excess price return relative to the market during a specified period. Factor-based momentum strategies are classified as return oriented.

能否解释下什么是passive factor-based momentum strategy？

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1 个答案

maggie_品职助教 · 2019年12月19日

equity 中的 passive factor-based strategy ，属于被动投资的一种方法。比如我对size factor感兴趣，就找size有关的index。而这里是passive factor-based momentum strategy，说明我感兴趣的因子是momentum factor（惯性指标：过去涨将来还涨）。如下请见实务中常见的7种被动投资因子：


此外，我们选择承担不同的风险因子是有目的的，有的因子是为了给我们带来更高的收益，承担有些因子是为了更好的规避风险。而选择惯性指标就是因为这一类股票在某一段时间内涨的比别人多，因此收益高所以它是return oriented。



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