2016C 為什么是買期貨呀，買現(xiàn)貨不行嗎
2018 c 2 factor proxy 是什么？ discretionary 中應(yīng)用timing strategy?整個邏輯是怎么樣的？
老師，麻煩問下，A股也是以流通股的市值作為權(quán)重嗎？
老師，麻煩問下，劃藍色的線是匯率不同的意思還是利率不同的意思呢？
老師，我還是不太明白risk budget在asset allocation里面的作用。其中MVO的EF不已經(jīng)考慮了單位風險的最大化收益么？（這也是risk budget的目的）。 還是risk budget 也是一種建立組合的方式（類似risk factor based model), 給asset allocation提供risk based proposal?
老師，為啥第一題因子擇時是alpha，對于reward factor和alpha還是分不清
老師，這里的計算看似比較復雜，想問下如果考試的時候，需要掌握到哪種程度呢？謝謝
The mandate of Pool 2 also consists of two primary goals: A goal that the overall stock portfolio should consist of mature companies that have stable net incomes and high dividend yields A goal of expressing strong views on many major corporate issues through proxy voting Gentry interviews a potential investment manager, who explains that his expertise lies in being able to enhance return or reduce cost using three techniques: 1. Dividend capture 2. Security lending 3. Covered-call writing Q. Of the three techniques mentioned by the potential investment manager, which is most likely to interfere with Pool 2’s goal associated with corporate governance issues? A. Technique 1 B. Technique 2 C. Technique 3 請問為什麼答案是Ｂ
Stapleton then begins a description of factor-based strategies. These include common equity factors, such as value, size, and quality, and they can be used either in place of or to complement market-cap-weighted indexing. She points out that relative to market-cap weighting, factor-based strategies tend to diversify risk exposures; are transparent in terms of factor selection, weighting, and rebalancing; but can be copied by other investors, which can reduce the advantages of a strategy. Q. When comparing factor-based strategies relative to the market-cap weighting of an index, Stapleton’s comments are most likely: A. incorrect regarding transparency. B. correct. C. incorrect regarding risk exposure. 請問答案為什麼是Ｃ呢？Factor-based strategy 不是也能達到risk reduction的作用嗎？
請問在CFA practice question中 Q7 "value factor funds seek to lower downside risk;" solution 說 "is incorrect because value factor funds focus on valuation measures, not volatility." 選擇value stock不是因為lower valuation compared with growth stock, 然後price drawdown 的程度較小，所以lower downside risk?
請問在 CFA practice question 中 ，Disadvantages of using ETFs include the need to buy at the offer and sell at the bid price, paying commissions, and possibly facing illiquid markets at either purchase or sale. 所有股票不是都是都buy at ask and sell at bid嗎？ 還有ETFs 相較於一般股票更 liquid，為什麼這兩點是advantages?
The mandate of Pool 2 also consists of two primary goals: A goal that the overall stock portfolio should consist of mature companies that have stable net incomes and high dividend yields A goal of expressing strong views on many major corporate issues through proxy voting Q. Which of the following index methodologies is most appropriate to use as a benchmark for the overall stock portfolio described in Pool 2? A. Factor based B. Capitalization weighted C. Fundamentally weighted 請問為什麼答案是Ａ而不是Ｃ？ mature companies that have stable net incomes and high dividend yields 不是 fundamental factors 嗎？
老師，第一題記得老師上課說rewarded factor weighting是對風險因子權(quán)重把握帶來的超額收益，對于風險因子的擇時把握，alpha是選股帶來的超額收益。這里我選了factor
請問在reading 25 中 example 10, 第一個問題中，Information ratio = Active return / Active risk. 如果 active return 越高 active risk 不會也會增加嗎？ 另外，"Adding the ability to short could facilitate a more balanced distribution of risk. Given the similar volatilities and low cross correlations among factors, the more balanced distribution of risk can be expected to reduce the tracking error of the strategy, thereby improving the information ratio." 如何在降低 tracking error 的狀況下提升return呢？ 如果 portfolio return 高於 benchmark return，那tracking error應(yīng)該也會增加吧？
請問 Reading 25 example 7 中 solution 1 Size coefficient ?0.30變到0.10，不是應(yīng)該趨向 small companies嗎？ 但是為什麼解答". However, the portfolio no longer has a small-cap tilt" ？
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