NO.PZ2018110601000021
问题如下：
Which of the following statement regarding factor-based asset allocation is least appropriate?
选项：
A.Factors are typically based on market premiums and anomalies
B.A common way to construct factors is self-financing investment.
C.Factors are typically different from the fundamental or structural factors used in multi-factor models.
解释：
C is correct
考点：factor-based asset allocation
解析：Fama-French三因素模型是典型的factor-based asset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（fundamental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero dollar investment，例如：Size factor return=Small-cap stock return−Large-cap stock return。
例如，想要构建size factor，就可以short large-cap stock，拿到cash，再用这些钱去long small-cap stock，这两个头寸净价值为零同时剥离出了size这个风险因子。
为什么同等价值的就剥离了size factor？ 剥离出size这个factor可以看到什么影响？
