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木木 · 2022年04月12日

被动投资是否一定认为市场有效

  1. CFA III
  2. Equity

NO.PZ2019012201000046

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.

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：

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.

我的理解是既然是被动投资，就应该遵循有效市场假说。即使是factor based，既然是被动，也应该是认为市场有效。A选项我理解，但是不明白b为什么不能选。

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1 个答案

笛子_品职助教 · 2023年04月25日

嗨，努力学习的PZer你好：


passive factor虽然是被动投资，但是passive factor 认为市场无效。因此不选B。


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