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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：

concentrate risk exposure.

be based on the efficient market hypothesis.

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.

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.

1.什么叫做risk factor is out of favror

2.以及为什么不可以选B---因为是passive的方法，那就说明其假设是市场是有效的，所以用passive

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笛子_品职助教 · 2021年10月17日

嗨，爱思考的PZer你好：

risk factor is out of favror指（市场）不偏好这个因子。这句话要结合上下文理解，这句话意思是，使用passive factor-based strategies，风险因子会更加集中，使得这些风险因子在不起作用的时候（out of favror），投资者会更脆弱。

这题问的是，比较passive factor相对于broad market的特点，翻译一下，ABC哪个选项，是passive factor有，但是broad market没有的。B选项的，假设市场有效，passive factor和broad market都有，因此B选项并不是passive factor相对于broad market的特点。

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