岳同學(xué)
2020-07-23 12:50Stapleton 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(qǐng)問(wèn)答案為什麼是Ｃ呢？Factor-based strategy 不是也能達(dá)到risk reduction的作用嗎？
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Kevin助教
2020-07-23 15:13
該回答已被題主采納
同學(xué)你好！
相比于一般的maket-cap weighting，factor-based strategy很可能增加風(fēng)險(xiǎn)。因?yàn)橐话愕闹笖?shù)，充分分散后其實(shí)只剩系統(tǒng)性風(fēng)險(xiǎn)，此時(shí)風(fēng)險(xiǎn)最小。但factor-based strategy可能導(dǎo)致分散不夠充分，反而增加了非系統(tǒng)性風(fēng)險(xiǎn)。
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