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dada · 2022年03月26日

～

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

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：

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.


Leaving investors vulnerable during periods when the risk factor is out of favor.怎么理解

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3 个答案

伯恩_品职助教 · 2022年08月14日

嗨，努力学习的PZer你好：


老师，请问factor-based momentum strategy，和老师上课说的factor-based strategy啥关系？_——你可以理解为factor-based momentum strategy是factor-based strategy的一种

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

椰子皮 · 2022年08月14日

好的，谢谢！

伯恩_品职助教 · 2022年03月29日

嗨，爱思考的PZer你好：


打个比方，2015年时候用小市值因子做股票交易，在A股上能赚翻，但是到了2016年以后小市值因子就失效了，用小市值因子做股票基本都是亏损。

是指这个因子刚好在这个时候市场表示活跃，能让投资者赚钱

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努力的时光都是限量版，加油！

椰子皮 · 2022年08月14日

老师，请问factor-based momentum strategy，和老师上课说的factor-based strategy啥关系？

伯恩_品职助教 · 2022年03月28日

嗨，从没放弃的小努力你好：


在 risk factor失效期间使得投资者因为其失效而在投资上处于弱势

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

dada · 2022年03月28日

什么叫factor失效

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