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tzdsgn · 2023年06月21日

选项a劳烦解释一下

  1. CFA III
  2. Asset Allocation

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。

选项a劳烦解释一下 谢谢

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lynn_品职助教 · 2023年06月21日

嗨，从没放弃的小努力你好：


因为同时有系统性风险相关的因子，也有与特有风险相关的因子。


factor based里的factor 既有market premium (承担了market risk, 或者说systematic risk），也有anomalies。


用解析中的Fama-French模型来解释，anomalies市场异象在这里指的是size factor和value factor，是无法解释的但可以给投资者带来超额收益的因子。


因为Fama-French发现，市值小的公司收益率往往比市值大的公司收益率高，也就是说收益与市值大小有关；如果市场有效，那么这种关系是不成立的，


正因为存在异常anomalies，所以投资者可以将规模这个因素单独挑选出来进行投资，承担与size相关的风险来获得补偿，这就是size factor。value factor同理。







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