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Mahoosive · 2023年08月05日

描述1为什么是对的

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000205

问题如下：

Which of the characteristics put forth by Chaterji to describe the factor-based approach is/are correct?

选项：

A.

Only Characteristic 1

B.

Only Characteristic 2

C.

Both Characteristic 1 and Characteristic 2

解释：

A is correct.

The factors commonly used in the factor-based approach generally have low correlations with the market and with each other. This results from the fact that the factors typically represent what is referred to as a zero (dollar) investment or self-financing investment, in which the under-performing attribute is sold short to finance an offsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short and long positions); as a result, the factors generally have low correlations with the market and with one another. Also, the factors commonly used in the factor-based approach are typically similar to the fundamental or structural factors used in multifactor models.

为什么说和market相关性很低

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1 个答案

lynn_品职助教 · 2023年08月06日

嗨，努力学习的PZer你好：


Characteristic 1“factor-based approach中的factor与market 相关性低，factor之间的相关性也低。”这句话是正确的。


市场是由无数个factor构成的，单独一个factor跟整体的相关性是很低的。比如，把size factor单独剥离出来，它跟market factor的相关性是很低的。


我们也可以从factor-based 方法怎么做来理解一下，the factors typically represent what is referred to as a zero (dollar) investment or self-financing investment,


这是因为这些因子通常代表所谓的零（美元）投资或自筹资金投资，在这种投资中，表现不佳的因子被卖空，以在表现较好的因子中为抵消多头头寸融资。以这种方式构建因子会将大部分市场敞口从因子中移除（因为抵消了空头和多头头寸）


这里有个概念self-financing investment，又叫zero (dollar) investment，可能不好理解，它是指通过买入和卖空等量资产而产生的净价值为零的投资组合。


例如size factor=small cap stock return-large cap stock return，看多小盘股的收益同时看空等量的大盘股收益，这两个头寸净价值为零同时剥离出了规模这个风险因子。

即我们先借入大盘股股票/指数将其卖出，再用卖出所得买入小盘股股票/指数，这样相当于我们没有投资一分钱获得了size factor敞口，其他我们不需要的因子已经在这个过程中通过一买一卖抵消掉了。


通过这种方式我们可以把因子剥离出来。这些factor与market 相关性低，factor之间的相关性也低。


举个栗子，好比你想预测一下某个人的寿命，找的factor有性别、国籍、肤色、身高、学历等等，然后market factor就好比是所有人类寿命的平均值。


你把人类的平均寿命跟身高去做相关性分析，相关性有（因为世界上万事万物都有联系），但是相关性程度不高，因为每个国家既会存在身高高的人寿命长、也会存在身高矮的人寿命长。所以个体跟整体的相关性低。

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