NO.PZ2018062002000084
问题如下:
Which of the following is true regarding the performance of passive trading strategies in a semi-strong-form efficient market?
选项:
A. Passive trading strategies would earn abnormal returns.
B. Passive trading strategies would outperform active trading strategies.
C. Passive trading strategies would underperform active trading strategies.
解释:
B is correct.
For a fund that adopts active trading strategies, costs would be hard to recover, so therefore, passive portfolio management should outperform active portfolio management on a consistent after-cost basis.
考点:Efficient Capital Market And Its Forms
在半强有效市场中,active的策略也无法获得超额收益,但它比passive投资策略成本还高。所以passive投资策略会优于active投资策略。
老师,不是强有效下被动投资才强于主动投资吗?在半有效小,公开信息完全反映在股价上,但有些可以通过非公开信息获利(虽然方法不可取,但是如果能得到,也是通过非公开募内幕可以套利)。为什么在半强有效下就被动已经强于主动了?