讓同學(xué)
2021-11-07 10:52相比于 broad market cap weighting，factor strategy tend to diversify risk exposure. 這句話不一定絕對(duì)是錯(cuò)的吧？single-factor 以及passive factor based strategy相對(duì)于broad market cap weighting會(huì)更集中，但是multi factor應(yīng)該會(huì)更分散，而active factor不好說(shuō)。是嗎？另外passive為什么會(huì)更集中？只要我選的factor夠多，就算是passive也不會(huì)集中呀。
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
開(kāi)開(kāi)助教
2021-11-08 22:06
該回答已被題主采納
同學(xué)你好，書上的原話是：Relative to broad-market-cap-weighting, passive factor-based strategies tend to concentrate risk exposures, leaving investors exposed during periods when a chosen risk factor is out of favor.
可以這樣理解，一般想做factor investing的，都是想要少數(shù)幾個(gè)因子的收益。如果分散的因子敞口那和投資市場(chǎng)指數(shù)差異不大。
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