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SUN · 2020年04月02日

问一道题：NO.PZ201809170400000301 第1小题 [ CFA III ]

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

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.

李老师解释里面的alternative beta是什么，不会就是指其他的因子吧？有这个叫法么，和集中的关系是？

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1 个答案

maggie_品职助教 · 2020年04月03日

嗨，爱思考的PZer你好：


1、有啊，你看下讲义163页，专门讲到了alternative beta，它是因为投资技术的不断提高，基金经理之前获得超过大盘的超额收益（alpha）现在我们可以不费吹灰之力获得了，因此叫做alternative beta。建议你再去听下这部分的基础课：

2、说回这道题让你比较的就是新的被动投资方法和传统老的被动投资方法有何不同。就是因为我们对被动投资的理解不断加深，所以相比投大盘，我们现在只要被动投资看好的因子就可以获得更高的被动投资收益。这说明之前alpha变成了现在的alternative beta。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


SUN · 2020年04月03日

谢谢

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